Bloomberg interviews MIT Quant guru and Chairman of AlphaSimplex Group LLC, Andrew Lo...
Question: What does this volatility look like to you? Is this another quant meltdown?
Question: Is systematic trading exaggerating the moves?Lo: I’m not sure I’d characterize it as just a quant meltdown. I think that makes it a little bit too cut and dried. Probably there are a number of different factors, including algorithmic trading, that plays into it. We have a number of different forces that are all coming to a head. And because of the automation of markets and the electronification of trading, we’re seeing much choppier markets than we otherwise would have five or 10 years ago. But it’s many forces operating at different time scales, all coming to a head.
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