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
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