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Quant analytics: What’s happening at the end of the day?

(Last Updated On: May 28, 2012)

Quant analytics: What’s happening at the end of the day?

For a while now I’m seeing large market moves at the end of the trading day, around 3:30 pm or a bit later. Do you know what kind of strategies are causing this? There used to be MOC

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think day traders just close opened positions

 

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I saw a webinar claiming the market turns around at 10:30am, 1:30pm and 3pm. That may become a self fulfilling prophecy if enough people watched it…

 

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Do they give a reason for those turns? Or is it observational?
10 am is a typical turn time because macro news comes out at 10am frequently.
The end of the day seems different though, the patterns of prints change, especially on thin stocks.

 

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It was just their system based in observation to wait for those times of day and trade the reversal. I can’t remember who published it, it was on one of those emails after signing up with a web portal…

 

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trading the market imbalances is still alive and well but is normally a short time frame trade. It is also very common for large hedges and catch up trades against the volume weighted average price metric to be put on at that time of day.

 

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do you know how the imbalances are traded now that they are constantly updated?
Interesting about the large hedges and VWAP trades. So are those VWAP responses due to too low volume during the day and the need to get more shares at the end of the day?

 

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I don’t trade imbalances so I cannot say for certain but my understanding from some who do is that things have indeed changed and in fact, it has almost become a counter trend trade (fade the imbalance direction on any sort of price spike).

I am not trying to dodge the last part of your question but the VWAP trade is more complicated than would make for a good post.

 

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Here’s a seemingly narrow, but genrally effective, day-trading viewpoint… if you can see tradable price action, trade it. If you have to understand the cause, you’ll probably be in a drawdown by the time you start trading it.

 

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expectation is the worst thing you can do in a market
yes, it is called market making.

 

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Indeed about 1-2 hours after the US Cash Equity Open you can get good momentum. Most of the data is out at 8:30 and 10am timeslots, so with all that out of the way some of the big guns are ready to start firing their artillery.

 

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what do you mean by market making? this or something else?
http://www.cis.upenn.edu/~mkearns/papers/marketmaking.pdf
If so please explain how these algorithms cause large price moves at the end of the day.

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

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