Intraday momentum

I have noticed a very strange arbitrage opportunity in this market: strong price movements (greater than plus or minus 5%) which occur in the first half of the trading day tend to be extended in the second half of the day. This is different from what I perceive as "normal" market activity; i.e., the market opens at a certain price and then trades around that price for the rest of the day.

In an attempt to try to exploit this arbitrage, I bought into FMCN yesterday. Of course, I also like the advertising business. I would almost never buy a stock whose business I felt was going nowhere. (As an aside - one notable exception to this is VNDA, which is currently trading below cash. The business is going nowhere, but I just cannot justify selling my shares at this level.) Since this is a short-term trade, I am hoping to make 3-5%. After I bought it, the market tanked, and the stock fell with it. Perhaps my observed intraday momentum is affected by the direction of the market. I will keep you updated with my experimentation with this new trading strategy.

Full disclosure: Long FMCN, VNDA.