Bloomberg have an article discussing various spikes in currency rates around 4pm London time:

  • the last Friday in June, the value of the U.S. dollar jumped 0.57 percent against the CAD … Within an hour, two-thirds of that gain had melted away
  • The same pattern — a sudden surge minutes before 4 p.m. in London on the last trading day of the month, followed by a quick reversal — occurred 31 percent of the time across 14 currency pairs over two years

The recurring spikes take place at the same time financial benchmarks known as the WM/Reuters (TRI) rates are set based on those trades. Now fund managers and scholars say the patterns look like an attempt by currency dealers to manipulate the rates

OK then … so I guess we know what to do with the last-day-of-month 4pm London spikes, don’t we?

:-D

The article is here.