This is a summary of links featured on Quantocracy on Sunday, 07/29/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Market intraday momentum [Eran Raviv]I recently spotted the following intriguing paper: Market intraday momentum. From the abstract of that paper: Based on high frequency S&P 500 exchange-traded fund (ETF) data from 19932013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous days market close predicts the last half-hour return. This predictability, which is both
Seasonalities: Bad Period for Stocks? [Quintuitive]I just finished the implementation of another approach to finding repetitive calendar behaviour, and was quite surprised that the only short period for stocks, has just began. What are the odds of this?