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The gold price is set in New York (probably)…

by on July 8, 2015

A perennial issue in the gold market is where the price is made. Statistically this revolves around seeing where most information (itself a thorny measurement problem) is being generated.

A recent paper uses a new method, and suggests that New York, especially after market changes to make GLOBEX more effective, has become the dominant force. There is significant time variation however. The dominance is striking given the much larger volume of trading in London.

Screenshot 2015-07-08 10.04.40

Reference:

Hauptfleisch, Martin and Putniņš, Tālis J. and Lucey, Brian M., Who Sets the Price of Gold? London or New York? (May 15, 2015). Available at SSRN: http://ssrn.com/abstract=2606587 orhttp://dx.doi.org/10.2139/ssrn.2606587
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From → Empirical, Gold

2 Comments
  1. Bron Suchecki permalink

    Any link to the paper, looking for more explanation

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