ITG study finds fixing time "irrational and expensive"

Study of trading around WM/Reuters finds no proof of wrongdoing

Jim Cochrane at ITG
Jim Cochrane, ITG

The trading environment in the minutes leading up to the 4pm WM/Reuters London fix is irrational and expensive, with spreads tightening while volatility shoots up, but there is no conclusive evidence of attempts to rig prices, a study from independent execution and research broker ITG shows.

The study examines tradable quote data during the overlap between London and New York trading hours, before and after the 4pm fix is calculated. James Cochrane, a director at ITG, analysed eight currency

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