JPMorgan's Algorithmic Market Crash Analysis Was Brilliant But Flawed

Marko Kolanovic, Ph.D., the Global Head, Derivative and Quantitative Strategies at JPMorgan, had an eventful week. It started last Friday with probably one of the more insightful and useful research notes pointing out performance drivers associated with Monday’s “limit down” open to the stock market. This wasn’t just among Kolanovic’s best, but, it could be argued, it was among the most insightful research to come out of JPMorgan, who has a respected team of global researchers known for strong research.  Later Kolanovic followed up his success by warning of more potential market volatility to come. In this analysis, “CTA trend…