The events over the past week have created significant spikes and volatility in the market. The VIX (the measure of volatility in the stock market) on September 17, 2008 measured just over 36 which was the highest since late 2002. An automated trading system like Four Sigma can get caught in the volatility and certainly did this time with a large number of picks the day the market rallied after two days of giant losses.
A prudent person would most likely not make the trades in the financial sector that the system ended up making, especially in the insurance sector. There were several companies that rose with the prospect of taking some of the business from AIG as it was going down.
Although we would have liked to sit on the sidelines during this turbulent time, we'll let the system plow on and make the trades.
No comments:
Post a Comment