An Interesting Intraday Price Pattern

Greetings!

I said that I wasn’t going to do much updating until my financial crisis is over, but I have a bit of free time today so…what the heck.

Anyway, a few weeks ago I ran across a research paper by folks at the Swiss National Bank which essentially found that currencies tend to fall during local trading hours. In other words, the banks that are open during a given session tend to be net purchasers of foreign currency and net sellers of their own currency.

For example, all other things being equal, we would expect the yen to depreciate during the Asian session, the USD to drop during the New York session, and the euro and pound to drop during the London session.  Of course these currencies clearly move strongly in both directions during all sessions based on other market factors, so we’re just talking about an average tendency here.

I’ve been working with a dataset consisting of over 15,000 hourly EUR/USD bars, so I decided to check out this tendency for myself today. It turns out that the average open-to-close hourly change in EUR/USD was +0.30 pips during the Asian session (Sydney, Sydney/Tokyo, and Tokyo only), compared to a whopping fall of -0.98 pips during the London-only session (not the latter hours where New York is open too).

So this is a quick and dirty corroboration of the SNB study, and could come in handy to augment any intra-day trading strategies.

Back to my financial crisis, so in my absence…keep pipping up!!

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