Quantitative Finance

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.

EZI-sq-WAAY3Jqj
 
Back
Top