The Orphan Moves

The finding A market jumps and no headline explains it. The first thought is always that someone knew something. We went looking for how often that gap was real, and found something quieter: a map of where we were looking. Over the four days our matching ran best, June 13 to 16, we recorded 1,761 sharp repricings of 3 cents or more in one minute. For 1,470, about five in six, our pipeline could attach no news within its 60-second matching window. At its best, attribution reached about one move in six, and among moves of 10 cents or more, 26 of 75. That is a floor on what we could source, not a count of moves that happened in silence: news that led the price by minutes was invisible to the matcher. The map of what we could explain was really a map of where we were looking. The Orphan Moves · Vera Research What the map really shows What separated a move we could source from one we could not was not the move. It was our own price tracking. We ranked each market by how many times our feed had sampled its price in the two hours before a move, then compared the extremes. In the markets our feed barely sampled, three checks or fewer, we attached news to 0 of 366 sharp moves. In the market...