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Time zone normalization of FX seasonality

MASRY, S and DUPUIS, A and OLSEN, RB and TSANG, E (2013) 'Time zone normalization of FX seasonality.' Quantitative Finance, 13 (7). pp. 1115-1123. ISSN 1469-7688

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Abstract

This paper provides empirical evidence that the particular intra-day seasonality observed in the Foreign Exchange market is indeed due to the different geographical locations of its traders. Analysing more than 2 years of real transactions from a microscopic perspective, we design a procedure that accounts for the time zones from which traders operate. The resulting normalized intra-day seasonality shows a pattern akin to those observed in regulated exchanges where traders are more active at the beginning and at the end of their session. © 2013 Copyright Taylor and Francis Group, LLC.

Item Type: Article
Subjects: Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions: Faculty of Science and Health
Faculty of Science and Health > Computer Science and Electronic Engineering, School of
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 15 Sep 2015 14:17
Last Modified: 15 Jan 2022 00:54
URI: http://repository.essex.ac.uk/id/eprint/14855

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