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Abstract
We investigate trend-following market behaviour around the 4pm London time BFIX and WMR fixing windows to reduce trading costs for trend and counter-trend flows
Disclosure statement
No potential conflict of interest was reported by the authors.
Notes
† Bloomberg. BFIX Methodology. FX Benchmark Solutions. May 2018. Available online at: https://data.bloomberglp.com/professional/sites/10/bfix_methodology.pdf.
‡ Refinitiv. WM/Reuters FX Benchmarks. Spot & Forward Rates Methodology Guide. Available online at: https://www.refinitiv.com/content/dam/marketing/en_us/documents/methodology/wm-reuters-methodology.pdf.
† Bank of England, Results of the semi-annual foreign exchange turnover surveys, 29 January 2019. Available online at: https://www.bankofengland.co.uk/markets/london-foreign-exchange-joint-standing-committee.
† Financial Stability Board. Foreign Exchange Benchmarks. Final Report. 30 September 2014. Available online at: https://www.fsb.org/wp-content/uploads/r_140930.pdf.