Author： MASRY S. DUPUIS A. OLSEN R. B. TSANG E.
Publisher： Routledge Ltd
ISSN： 1469-7688
Source： Quantitative Finance, Vol.13, Iss.7, 2013-07, pp. : 1115-1123
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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.
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