Intra-day Seasonality In Foreign Exchange Market Transactions
Source: Cornell University
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. In recent times much has been made of the trading revolution in currency markets brought about through the screen-based electronic trading and broking systems that have come to dominate foreign exchange trading activities.