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

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