Execution data: are month-end moves still predictable?
Trading ahead of month-end index hedging has been a reliable strategy – until recently, writes Alexei Jiltsov of Tradefeedr
Any type of predictable pattern is relevant for best execution. If your execution quality is likely to be affected by a repeated pattern of behaviour, you may want to execute before or after the event. So, when you expect a flow of buyers, you should buy early; if you miss the window, buy on a reversion. In this column, we consider month-end as a pattern to track.
At least 20 years ago, researchers showed foreign exchange dynamics on the last business day of each month are predictable, to some
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact customer services - www.fx-markets.com/static/contact-us, or view our subscription options here: https://subscriptions.fx-markets.com/subscribe
You are currently unable to print this content. Please contact customer services - www.fx-markets.com/static/contact-us to find out more.
You are currently unable to copy this content. Please contact info@fx-markets.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@fx-markets.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@fx-markets.com
More on Tech and data
OMS wars: a new hope for the future
While Jedi powers may be needed to unpick the complexities of some order management workflows, but the dark side of these systems can be defeated by new enhanced solutions
FX data champion outlines transparency push
Stuart Simmons, new head of GFXC working group, wants trading platforms to come clean on how they use client data
Dealer relief at delays to Refinitiv Matching’s tech migration
First phase of replatforming for Swiss spot pairs set to be pushed to mid-2025
Common FX solution needed for mid-tier banks, says SG’s Estrada
e-FX Forum: Fee compression and costly tech spending should encourage dealer collaboration, he says
Data reveals hidden clockwork of FX forwards market
More than 70% of Vanguard’s volumes and nearly half of Pimco’s regularly occur on just four calendar days
Non-banks in RTGSs: greater efficiency or more risk?
Policy-makers and practitioners from central banks in Brazil, Hungary, Israel, Romania, Rwanda and the US share their perspectives
FX automation plans focus on predictive analytics – panel
Panellists suggest banks could explore AI tools for foreign exchange pricing
FX automation: mission incomplete?
This FX Markets webinar delves into the evolution of FX trading desks, the challenges to automating trade workflows, and what vendors and liquidity providers are doing to address this
