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Time zone normalization of FX seasonality |
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| Authors: | S. MASRY R. B. OLSEN E. TSANG |
| Affiliation: | 1. Centre for Computational Finance and Economic Agents (CCFEA) , University of Essex , Colchester, Essex CO4 3SQ , UK;2. Arab Academy for Science , Technology &3. Maritime Transport , Alexandria , Egypt;4. Olsen Ltd. , Seefeldstrasse 233, 8008 Zurich , Switzerland;5. Centre for Computational Finance and Economic Agents (CCFEA) , University of Essex , Colchester, Essex CO4 3SQ , UK |
| Abstract: | 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. |
| Keywords: | FX market activity Seasonality patterns Time zone normalization Sleeping hours |