The derivatives research team at JPMorgan that forecast the August market sell off based on algorithmic positioning and then, again based on a reversion of systematic positioning, predicted on September 24 the subsequent market rally in October, has yet another interesting market call.
Kolanovic: CTA signals could change based on relatively small market moves as "risk of another technically driven flash crash" is upon us
“Near term the market is likely more resilient to the risk of another technically driven flash crash,” the November 5 report predicted, citing technical flows from option hedges, volatility targeting, managed futures CTA...
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