Time-band bias in GBP/USD currency futures

In this analysis we will present a Time-band Bias identified in GBP/USD currency futures.

This present time series is analyzed on an hourly time frame starting from 2010.

Each day was divided into two parts: 00:00 – 12:00 (NY) and 12.00-23.00 (NY). In doing so, there was a clear tendency for GBP/USD to go short in the first part, as we can see from Figure 1.

Figure 1 – Average tick movements 00:00 – 12:00 (1); 12:00 – 23:00 (2).

The average of the first part of the day’s tick movements (1) of 0.00013 is similar in absolute value to the average of the second part of the day’s tick movements (2) of 0.00016.

Mean tick movements
1		2
0,00013		0,00016

Table 2 – Average tick movements in absolute value.

	1	2
2010	-0,0568	0,0111
2011	-0,0295	0,0297
2012	0,0129	0,0602
2013	-0,0568	0,068
2014	-0,0805	-0,0167
2015	-0,2202	0,1478
2016	-0,2351	-0,009
2017	0,0787	0,0268
2018	-0,098	-0,0013
2019	-0,0003	0,0396
2020	0,0475	-0,0141
2021	0,0004	0,0234