Intra-Day Seasonality in Foreign Exchange Market Transactions

Details Intra-Day Seasonality in Foreign Exchange Market Transactions Intra-Day Seasonality in Foreign Exchange Market Transactions

2011-03-29

arxiv.org/abs/1103.5664v1

Economy

Quantitative Finance

Trading and Market Microstructure

Scientific paper

This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer broking system indicates significant evidence of intraday seasonality in returns and return volatilities under usual market conditions. Moreover, analysis of realised tail outcomes supports seasonality for extraordinary market conditions across the trading day.

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