Impact & Decay around WMR

Our latest research article analyses market impact and price behaviour around the WMR Fix.

In this paper we analyse market impact at the 4pm London Fix and measure the magnitude of speed of any subsequent price decay following the fixing window. Unsurprisingly given the very significant rise in volatility, we find that market impact has increased in 2020, and the impact around Q120 was markedly higher than previous quarters.

We also find evidence to indicate there is more permanent market impact (i.e. there is a smaller decay in the price) created at month ends compared to ‘normal’ days. This evidence would therefore suggest that, where possible due to mandate or operational constraints, it may be more optimal to rebalance on days other than month-ends.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper.