A year ago we described new predictable trading patterns that developed after the WM/Reuters 4pm London Fix window was expanded to 5 minutes. On average, the direction of rate changes at the start of the window predicts the direction over the remainder of the window. This momentum during the window is followed by a reversion afterward. Our latest research update on this trading pattern is available here.
While the WM/Reuters 4pm Fix was initially intended toREAD MORE