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In simulations, sluggish and regular hedging for 4pm benchmark orders shaved as much as 25% from prices
It’s a recognized however unproven assumption that predatory buying and selling through the 4pm London time fixing window for benchmark forex charges – largely from high-speed hedge funds and prop desks – can result in worse costs for purchasers. What’s much less clear is what to do about it.
A new paper, collectively authored by Deutsche Financial institution’s Roel Oomen and lecturers Johannes Muhle-Karbe and Mateo Rodríguez Polo, presents a solution.
The researchers modelled the impression of ‘opportunistic’ buying and selling across the 4pm WM/R fixing window to
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