• The NationStates server was subjected to a data breach. TNP Forums do NOT interact with the NS servers and remain secure. If you use the same password between the two sites, it is recommended you change your password.

Quantitative Finance

King Durk the Awesome

King Durk the Awesome

TNPer
 
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
 
You must log in or register to reply here.
Back
Top