Wise words of warning from Dennis Gartman of the Gartman Letter on Monday regarding the potential for summer-trading complacency.
He n0tes that while it is true the summer months are ‘quieter’, inferring a time of rest for many a financial professional, the savvy operator should not be caught off guard. For, as the out-of-office reply count mounts, so too does that most furtive of market killers: illiquidity. As he reminds readers:
…we should also remember, however, that in the course of the past several decades, the most violent market movements have tended to come in late July and early August just precisely because the dealing rooms are emptier. Illiquidity during times of political duress can create its own problems, and we remember the Russian problems of August of a decade ago, and the problems attendant to LTCM that evolved out of that earlier crisis. These were “summer” crises, and there have been others, so just because the doldrums have set in does not mean that they are permanent, and that they cannot develop into something far more unstable. They can; they have and they will… we simply know not when.
Which presumably means an out-of-office algorithm exists, right?
Related links:
The Cold War in high frequency trading - FT Alphaville
Around the blogs: Serge Aleynikov – FT