"Market sell order at close" is one of those concepts from quantum mechanics where it seems to exist until you use it, but when it doesn't seem to exist, it's actually there. It's a very subtle point, especially during the day.

George Zachar comments:

Call it Schrodinger's Stop. 

Rocky Humbert writes:

You must mean Heisenberg.

Forgetting about the slippage, I think a lot of this stuff turns on time frames, slippage, and the underlying economic and trading nuances of different asset classes. I brought this paper up because I find the conclusions appealing and it says it addresses some issues not previously studied. Not because their conclusions are achievable.

Furthermore, if a market participant believes that they have actually achieved "lower risk", they may be inclined to use more leverage, which arguably is much more risky! (Which is why pure VaR trading desks seem to blow up every several years.)

It's just food for thought….and the Big Question for an investor such as myself is: when do I know that I'm wrong???? 


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