WM/Reuters window is more open to exploitation

As trading patterns become more predictable


Widening the WM/Reuters calculation window to five minutes has made the calculation unusually predictable and more open to exploitation, suggests a new report from Pragma Securities, citing the increased use of time-slicing algorithms as one of the reasons.

The WM/Reuters FX benchmark has been at the centre of the rate-rigging scandal that engulfed FX markets, triggering a methodology change from the company in February 15, when the benchmark calculation window was widened from 60 seconds to

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