CitiFX is out with a very interesting note on time zone analysis in the foreign exchange market arguing that it is showing an increasing day-trading pattern amid a persistently negative correlation between the London and NY sessions. "We think that low volatility, trade compression and lack of FX trends has led to a dominance of day trading behavior which is skewing day to day price action," Citi adds. Currently, Citi's model of chopping up spot prices into time zones is producing some interesting results, chief among them is the consistently negative correlation in how EUR/USD has been trading between NY and London ... (full story)