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A market fix serves as a benchmark for foreign exchange (FX) execution, andis employed by many institutional investors to establish an exact reference atwhich execution takes place. The currently most popular FX fix is the WorldMarket Reuters (WM/R) 4pm fix. Execution at the WM/R 4pm fix is a serviceoffered by FX brokers (normally banks), who deliver execution at the fixprovided they obtain the trade order until a certain time prior to 4pm. In thispaper, we study the market microstructure around 4pm. We demonstrate thatmarket dynamics can be distinguished from other times during the day throughincreased volatility and size of movements. Our findings question the aggregatebenefit to the client base of using the 4pm fix in its current form.

Foreign Exchange Market Microstructure and the WM/Reuters 4pm Fix