Periodicity of trading activity in foreign exchange markets
研究了25种全球货币对的高频汇率，发现交易活动在每分钟开始时激增，此时流动性较低，这些时间聚类交易对价格发现有显著贡献，源于算法交易。
Abstract Using the high‐frequency exchange rates of 25 global currency pairs, we document a striking clock‐time periodicity in which trading activity surges at the beginning of a minute. Additional analyses indicate that clock‐time spikes are accompanied by a lower level of liquidity. Moreover, we find that time‐clustering trades yield permanent price impacts, are devoted to efficient pricing, and make a significant contribution to price discovery. Finally, we investigate three informed scenarios to ascertain how trades at spikes acquire information beforehand and reflect them in markets. Taken together, our findings reinforce the view in the literature that subminute periodicity emanates from algorithmic trading.