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December 14, 2008

Time to Make Market Close a Random Variable

A WSJ piece tonight showing that end-of-day trading has risen to 26% of daily volume – up from 20% a year ago – is proof it's time for my solution to see the light of day: Make the daily market close time a random variable. No more end-of-day frantic covering, no more gap-filling, no more ETF rebalancing. Peace and quiet. Ah.

For double-bonus mind-expanding points, imagine, in the limit, the implications. Sure, markets might merely close at 3pm EST rather than 4pm EST. But we could do better than that. Assuming an expansive enough definition of the random variable, we could have markets opening three times during the middle of the night for five minutes each, and then not for a week. That sort of thing. The possibilities are endless.

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