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Monitoring the foreign exchange rate benchmark fix

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  • Hossein Jahanshahloo
  • Charlie X. Cai

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.

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  • Hossein Jahanshahloo & Charlie X. Cai, 2019. "Monitoring the foreign exchange rate benchmark fix," The European Journal of Finance, Taylor & Francis Journals, vol. 25(7), pages 670-688, May.
    • Handle: RePEc:taf:eurjfi:v:25:y:2019:i:7:p:670-688
    DOI: 10.1080/1351847X.2018.1518847
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    Cited by:

    1. Tao Chen & Kam C. Chan & Haodong Chang, 2022. "Periodicity of trading activity in foreign exchange markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 445-465, June.

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