« Some Quick Hits | Main | Goldfinger’s Plan Backfires Again »

The Financial Times notes that the market is becoming seriously weird late in the day:

“Despite higher liquidity, the equity market has become hard to trade,” stated a December 10 2008 research note from Credit Suisse: “We are seeing volume surge at the end of the day, accompanied by extreme price swings and spreads – yet surprisingly little movement overnight.”

That research team works with Credit Suisse’s advanced execution services algorithmic trading group (AES) in New York, and has tracked the end-of-day phenomenon carefully. In November 2008, it reports, 8 per cent of trades occurred in the last 10 minutes of the day, versus 6 per cent in 2006 and 2007, and end-of-day volatility in November rose to 2.5 per cent from about 0.5 per cent in July 2008.

Posted by edelfenbein at May 11, 2009 10:57 AM