Modal Patterns in Market Data Stump Morgan Stanley Quants
The bank's quant team discovered strange patterns around the timing of trades that neither they--nor quants at other firms--have yet been able to explain with certainty.
Data scientists at Morgan Stanley are scratching their heads after observing a mysterious modal pattern in market data, which they attribute to systematic trading activity.
When Morgan Stanley’s electronic trading group studied the time interval between trades in Sony Corp. stock on the Tokyo Stock Exchange on Feb. 29, 2012, they expected to see a pattern of exponential decay, with bigger gaps between trades as the number of trades decreased.
Instead, they found a strange modal pattern. Lots
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