Event Days and the Pattern of Intraday Trading

Our latest research article investigates how the pattern of intraday liquidity in FX changes depending on the nature of the day in question. We analyse key economic data release days, such as NFP, as well as month ends. Interestingly, we do not find any significant differences in the pattern of trading based on the day of the week, and we also don’t find a peak in activity around the WMR 4pm London Fix, at least when proxying liquidity by using tick counts. The economic events that seem to have the largest impact on the intraday liquidity pattern are, unsurprisingly, NFP and FOMC days.

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