  A market fix serves as a benchmark for foreign exchange (FX) execution, and
is employed by many institutional investors to establish an exact reference at
which execution takes place. The currently most popular FX fix is the World
Market Reuters (WM/R) 4pm fix. Execution at the WM/R 4pm fix is a service
offered by FX brokers (normally banks), who deliver execution at the fix
provided they obtain the trade order until a certain time prior to 4pm. In this
paper, we study the market microstructure around 4pm. We demonstrate that
market dynamics can be distinguished from other times during the day through
increased volatility and size of movements. Our findings question the aggregate
benefit to the client base of using the 4pm fix in its current form.
