ES -- DX/CL -- isee -- cboe put/call -- specialist/public short ratio -- trinq -- trin -- aaii bull ratio -- abx -- cmbx -- cdx -- vxo p&f -- SPX volatility curve -- VIX:VXO skew -- commodity screen -- cot -- conference board

Monday, May 04, 2009

 

"market dispersion has collapsed"


via zero hedge -- excellent insight from matt rothman of barclays on the continuing, perhaps growing pressure on factor-based quantitative traders.

UPDATE: more on the SLP activity via zero hedge.

Today, unsurprisingly, the NYSE posted a notice of a proposed rule change extending the SLP program another six months, until October 1, 2009.

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hey, btw, re: your "market dispersion" post, I'd be interested to know how important you feel all this quant stuff is in terms of the likelihood of trauma/dislocation for equities in the near term.perrone -- it will eventually have big effects, i think. it could take a little while, but factor-based quant trading has had at least two major loss events -- now make that three. it's overinvested on the hedge fund side, and investors are going to learn the lesson and start withdrawing capital from it. when they do, market liquidity will deteriorate noticably, perhaps radically.

some clear steps have been taken -- the SLP designation, for example -- to entice liquidity from (former) investment banks and what used to be called market makers. but they won't be able to replace the liquidity drain of a real cull of the quants. and that will be bad news all the way around. less liquidity, less trading, less fee revenue, less confidence.

 
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