Midday stock reversals becoming more common, quants say

Zig-zagging markets could spell trouble for quant strategies and dealers hedging options

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Intraday turnarounds in US equity markets such as the one that wrongfooted quant strategies on January 24 are becoming more frequent, according to analysts at Societe Generale.

A measure of how far the market’s direction can predict moves over the following half hour shows that trends around midday have become a stronger indicator of what is to follow than in past years.

“This type of reversal appeared last year but wasn’t that frequent before,” says Sandrine Ungari, head of cross-asset

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