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.

Morgan Stanley quants found trading activity on TSE less than transparent.

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Waterstechnology? View our subscription options

Waters Wrap: When looking for tech & data jobs, be curious

Senior executives across the industry tell Anthony that while having the right technical skills as a programmer or data specialist is important, the most desired qualities in new hires are curiosity and the ability to ask good questions.

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here