WM/Reuters window is more open to exploitation

As trading patterns become more predictable


Widening the WM/Reuters calculation window to five minutes has made the calculation unusually predictable and more open to exploitation, suggests a new report from Pragma Securities, citing the increased use of time-slicing algorithms as one of the reasons.

The WM/Reuters FX benchmark has been at the centre of the rate-rigging scandal that engulfed FX markets, triggering a methodology change from the company in February 15, when the benchmark calculation window was widened from 60 seconds to

To continue reading...

You need to sign in to use this feature. If you don’t have a FX Week account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: