Time zone normalization of FX seasonality

This paper provides empirical evidence that the particular intra-day seasonality observed in the Foreign Exchange market is indeed due to the different geographical locations of its traders. Analysing more than 2 years of real transactions from a microscopic perspective, we design a procedure that accounts for the time zones from which traders operate. The resulting normalized intra-day seasonality shows a pattern akin to those observed in regulated exchanges where traders are more active at the beginning and at the end of their session.