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They say that stocks go down during the day and up at night

statmodeling.stat.columbia.edu

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Re: They say that stocks go down during the day and up at night

#121

Post by IAmGraydon »

evrydayhustling wrote: post #62
tristanj wrote: post #43

There are several explanations for this phenomena: * The largest moves in price occur after quarterly earnings announcements, which are released after-hours. Same with other material announcements. * Prices are more volatile after-hours because there are fewer market participants. Because the order book is smaller, the same sized trade will have a larger effect on price after-hours compared to during trading hours. *…

Add to all of these that the return is uninvestable, so the market cannot eliminate the arbitrage. 1016x over 30 years is a gain of less than 0.001% per trading day. You would have spent much more than this through fees and market impact to buy and sell the stock each day, especially at any real volume. The market is full of uninvestable or tiny capacity trades like this. A reliable pattern gets created by trading fl…

You're off by a factor of nearly 100. 1016x (101,600%) over 30 years is around 0.1% per trading day (truly it's about 0.089% per day)

Re: They say that stocks go down during the day and up at night

#122

Post by rfrey »

toyg wrote: post #104
TheCoelacanth wrote: post #80

Earlier quoted context omitted.

Higher demand leading to lower prices? That's an interesting hypothesis.

It's not a hypothesis, it's how the mass-market works. Take computation: as demand rose and rose, prices fell and fell. And yes, the education and career systems have commonalities with manufacturing.

In computation, the supply rose much faster (faster chips, cloud computing) than demand until the advent of widespread ML. And I haven't noticed the price falling much in the last few years.

Re: They say that stocks go down during the day and up at night

#123

Post by toast0 »

vjk800 wrote: post #44
TeMPOraL wrote: post #17

Earlier quoted context omitted.

> I am only left with one question which I did not find answered anywhere yet - what exactly does day and night mean in the context of the whole world trading? While we're at it, I have a related question: why do the exchanges even "open" and "close"? Surely in our globalized digital economy, it's not just "day" and "night" that are meaningless, but the very concept of "opening hours" itself.

The world of finance is full of anachronisms like this. Exchanges are also closed on various bank holidays which are different in every country.

> Exchanges are also closed on various bank holidays which are different in every country

You can't settle on a bank holiday, because the banks are closed. If you trade on a day you can't settle, you're going to have two days of trading settling on the same day later, which is going to be weird.

Re: They say that stocks go down during the day and up at night

#124

Post by MuffinFlavored »

unregistereddev wrote: post #109
MuffinFlavored wrote: post #105

Earlier quoted context omitted.

Who/what is able to trade equities specifically (like SPY the ETF, or any of its underlying components like AAPL, META, etc.) pre-market and/or post-market?

Any investor can. If the option is not available to you, contact your brokerage to ask about it. Many (most?) brokerages require signing a waiver confirming that you understand the additional risk posed by trading in low-volume pre- and post-market yours.

Is it typically behind extra fees?

Re: They say that stocks go down during the day and up at night

#126

Post by kangda123 »

rootusrootus wrote: post #82
dumbfounder wrote: post #67

Earlier quoted context omitted.

Imagine how many HFT algorithms are out there trying to exploit every micro trend to the extreme. I am not in that game, but I can imagine all the things I would try, and I know there are really smart people and obviously a ton of money invested in it. Trying to find something simple that consistently makes money for a long time would be nearly impossible because the patterns would be found and exploited by many unti…

I think at this point the traditional stock market has so much algorithmic trading going on that making your own algorithm that can consistently win is basically impossible. But there are other less popular markets that don't receive the same attention.

It depends. Sure an obscure crypto or betting exchange does not have many competitors, but that's not because no one cared, but because even with perfect strategy it's going to be hard to make $$ if daily volume is 10k. How much can you reasonably extract?

Conversely, traditional stock markets is where relatively unsophisticated players do multi-million transactions all the time. This is where the money is. You might need to fight for it or it might be handed over on a silver plate by some redditors.

Re: They say that stocks go down during the day and up at night

#127

Post by cmcconomy »

erfgh wrote: post #18
TeMPOraL wrote: post #17

Earlier quoted context omitted.

> I am only left with one question which I did not find answered anywhere yet - what exactly does day and night mean in the context of the whole world trading? While we're at it, I have a related question: why do the exchanges even "open" and "close"? Surely in our globalized digital economy, it's not just "day" and "night" that are meaningless, but the very concept of "opening hours" itself.

Probably due to labor unions.

the stock market has "gone woke"

Re: They say that stocks go down during the day and up at night

#129

Post by paulpauper »

anonu wrote: post #20

Good luck replicating this in sample. Open and closing auctions are going to crush your strategy from a cost and slippage perspective. In addition you should be looking at risk adjusted return. The overnight volatility is way higher than the intraday. Are you being paid for each unit of risk you're taking?

Even accounting for such costs, it may still provide excess real returns.

Re: They say that stocks go down during the day and up at night

#130

Post by evrydayhustling »

IAmGraydon wrote: post #121
evrydayhustling wrote: post #62

Earlier quoted context omitted.

Add to all of these that the return is uninvestable, so the market cannot eliminate the arbitrage. 1016x over 30 years is a gain of less than 0.001% per trading day. You would have spent much more than this through fees and market impact to buy and sell the stock each day, especially at any real volume. The market is full of uninvestable or tiny capacity trades like this. A reliable pattern gets created by trading fl…

You're off by a factor of nearly 100. 1016x (101,600%) over 30 years is around 0.1% per trading day (truly it's about 0.089% per day)

You are right. I meant .001 not .001%. I originally wrote 10bp but flubbed making it more accessible. Either way, not investable.
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