Clickbait paper titles on arxiv, good grief. Out of curiously I looked the guy up -- he must have gotten access via some technical publications ~a decade ago. There ought to be away to cut off access to people who are no longer publishing in their field of expertise.
They Still Haven't Told You
31–40 of 76 posts
Re: They Still Haven't Told You
#32Am I blind or does this paper spend a huge amount of time lamenting the failures to notice the issue, without ever once actually describing the issue. I don't claim to be very knowledgable here, so can someone fill in the gaps for those of us who want to know exactly why Fig 2. is so damning?
I don't think there is anything new here. The overnight trading anomaly has been observed for years
Re: They Still Haven't Told You
#33TL;DR, a lot of hedge funds don't hold positions overnight. This paper reads more like some click bait article on BuzzFeed or Business Insider than an academic piece.
it reads like the sort of thing they would publish
Re: They Still Haven't Told You
#34Earlier quoted context omitted.
Tangential question: why isn't the stock market open 24/7/365 (minus periodic maintenance of the computer systems)?
Because professionals don’t want to monitor stock prices 24/7, and because the end-of-day price is significant a lot of things. A lot of trading takes place in the last 30 minutes of the day for that reason.
> Because professionals don’t want to monitor stock prices 24/7
I'm sure you could pay professionals to work in shifts to monitor stock prices 24/7.
> because the end-of-day price is significant a lot of things.
Isn't that circular reasoning? "The stock market needs to close during the day because the end-of-day price is significant to a lot of things because the stock market needs to close during the day". Take the spot price at 00:00:00 AM as your end-of-day price and call it a day.
Re: They Still Haven't Told You
#35Can someone explain for a total layman?
Re: They Still Haven't Told You
#36So he is saying large firms use money to pump up prices early morning to promote FOMO and chaos and they would trade the predictable chaos and even after they sell their initial pump, they still make money?
Re: They Still Haven't Told You
#37Clickbait paper titles on arxiv, good grief. Out of curiously I looked the guy up -- he must have gotten access via some technical publications ~a decade ago. There ought to be away to cut off access to people who are no longer publishing in their field of expertise.
I thought anyone can publish to arxiv?
Re: They Still Haven't Told You
#38The author's earlier paper explains more clearly exactly what the firms in question are doing and how they profit from it: https://arxiv.org/abs/1811.04994 The first page suffices to get the idea.
But spreads aren't larger in the morning are they? If anything they are smaller, due to the action of the opening auction. Without actual data to back up that assertion, the rest of it doesn't really need reading. Assuming his assertion is correct, the reverse is also a strategy. Selling in the morning, causing prices to drop, then buying back when they are cheap in the afternoon, so ending flat but having made money…
Expand doesn't necessarily mean buys. It's a leveraged market neutral portfolio, so most likely built from a combination of the future and hedged options books. So would be a combination of buys and sells of derivative products. Even if the net position is larger.
Re: They Still Haven't Told You
#39important news is often released b4 market open or after close, or pundits will hype the stock over the close. Manipulation, such as gapping the price higher or lower to make profit from options or increased liquidity of regular trading hours. So you spend $10 million in the pre-market hours to make a stock open 5% higher and then use the extra liquidity to unload a $100 million position at the open while also sellin…
Tangential question: why isn't the stock market open 24/7/365 (minus periodic maintenance of the computer systems)?
FTX has tokenized stocks that trade 24-7
Re: They Still Haven't Told You
#40Honestly? I blame the reptilians for this.