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Monitoring the foreign exchange rate benchmark fix

Jahanshahloo, Hossein and Cai, Charlie X. 2019. Monitoring the foreign exchange rate benchmark fix. European Journal of Finance 25 (7) , pp. 670-688. 10.1080/1351847X.2018.1518847
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Abstract

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
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Publisher: Taylor & Francis
ISSN: 1351-847X
Date of First Compliant Deposit: 18 February 2019
Date of Acceptance: 28 August 2018
Last Modified: 18 Apr 2019 13:42
URI: http://orca.cf.ac.uk/id/eprint/118566

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