Factor models miss time variations in trading day – Morgan Stanley
Large-cap momentum picks up after open, before close
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
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