Quantitative Finance

[King Durk the Awesome]

To start, here are some free presentations on Algorithmic and Advanced Programming in Python:

Masterclass 1: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3953589
Masterclass 2: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3953786
Masterclass 3: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3954600
Masterclass 4: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3954608
Masterclass 5: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3955447
Masterclass 6: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3955546
Masterclass 7: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3955789
Masterclass 8: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3963651
Masterclass 9: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3970671

 

[King Durk the Awesome]

Strikingly Suspicious Overnight and Intraday Returns: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3705017

To sum, markets have gone nowhere during cash sessions for nearly 3 decades. No consensus exists on why this is, but there are many theories/possible explanations. The bulk of the after hours returns occur in the futures market during the 8:00 to 10:00 GMT timeframe, around market open in Europe. Durkypurky posits a largely unsubstantiated theory that this movement could be explained by gamma hedging from European market makers in the morning.