Intraday factor models are not conditioned to take account of changes in factor behaviour during the trading day, according to data scientists at Morgan Stanley.
The warning comes after Morgan Stanley’s electronic trading group found evidence of momentum picking up in large-cap stocks in the S&P 500, both after the open and before the close.
“This is important because we try and build algos that trade these times, in particular our closing algo. Making the algo aware of this allows us to try
- Asia moves: Natixis sales head moves to Barclays, new banking head for StanChart Singapore, and more
- Functional programming reaches for stardom in finance
- Banks hope final FRTB rules will ease NMRF burden
- Banks use machine learning to ‘augment’ corporate sales
- Buy-siders eye ways to get ahead of US resolution stay rules