Monitoring the foreign exchange rate benchmark fix

Jahanshahloo, Hossein and Cai, Charlie X ORCID: 0000-0003-1398-3715
(2019) Monitoring the foreign exchange rate benchmark fix. EUROPEAN JOURNAL OF FINANCE, 25 (7). pp. 670-688.

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We develop a Manipulation Index (ManIx) that captures the potential manipulation intention of dealers during the World Markets/Reuters (WMR) benchmark (London Close) period at 4 pm London time through a unique algorithm and simulation. The application of this model (using a dataset with dealers’ identities) can identify banks that are prone to potential manipulative behavior. The results concerning the identified banks are validated by the regulatory investigations. Implementation of this algorithm allows regulators better direct their limited resources towards more targeted in-depth investigation.

Item Type: Article
Uncontrolled Keywords: Simulation, regulation technology, WMR fixing, FX market manipulation, market microstructure
Depositing User: Symplectic Admin
Date Deposited: 27 Nov 2018 15:29
Last Modified: 19 Jan 2023 01:11
DOI: 10.1080/1351847X.2018.1518847
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