Midday stock reversals becoming more common, quants say

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


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

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here