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 o
Bloomberg's Gerard Francis comes on the podcast to talk about how data fragmentation issues are becoming more challenging.Subscribe to Weekly Wrap emails