Factor models miss time variations in trading day – Morgan Stanley

Large-cap momentum picks up after open, before close

clocks-time

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

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

Register

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