Hacker News Board Hacker News, browsed like a classic message board
Live data from Hacker News

They Still Haven't Told You

arxiv.org

Post reply on HN
Print view View original

61–70 of 76 posts

Re: They Still Haven't Told You

#61

Post by timkam »

bloodyplonker22 wrote: post #41
paulpauper wrote: post #32

Earlier quoted context omitted.

I don't think there is anything new here. The overnight trading anomaly has been observed for years

I work on wall st and, trust me, even the greenest traders know this. I think the author is trying overly hard to be dramatic in order to achieve his PhD certificate.

I don't think that these papers will earn the author a PhD, and I also don't think that this is a goal. Looking at the references, the author seems to like to publish such analyses on the arXiv, which is arguably not really what it is meant for; but still, it's a pre-print server so who cares.

Re: They Still Haven't Told You

#62

Post by galaxyLogic »

quickthrower2 wrote: post #25
ebe1e95d8942 wrote: post #15

Earlier quoted context omitted.

but this article is explaining that unless you are selling short in the morning and covering at night, there are mostly negative returns for intraday trading, i.e. "pil(ing) in in the morning, and exit(ing) in the afternoon". There are lots of firms and funds and floors that never hold overnight, but this research demonstrates that that is basically a statistically losing strategy. If you follow markets it's almost i…

This makes sense to me as given a constant rate if information per hour from world markets and the world in general, there will be more information outside of trading hours than within them.

I'm not sure there is "more information" about the value of a stock. There is only newer information.

The new information during the night can tell us "Hey the price should be higher" but then more information coming in later can cancel the previous good news.

Re: They Still Haven't Told You

#63

Post by sjg007 »

galaxyLogic wrote: post #60
Centigonal wrote: post #51

Earlier quoted context omitted.

The author explains what he thinks is happening on page two of this paper (which he cites in the OP, but doesn't actually explain): https://arxiv.org/pdf/1912.01708.pdf TL;DR: Stock prices in the US go up overnight and come down during the trading session. The only explanation must be that some shadowy trading firm with a lot of money is buying a bunch of $stock in the morning and selling it back later in the day (at…

If they sell later in the day that should bring the price down. How does that increase the value of the stock overnight?

I thought it was a volume thing? So overnight there are less shares to buy so they fetch higher prices. That then normalizes over the course of the day as more shares become available?

Re: They Still Haven't Told You

#66

Post by yobbo »

ksdale wrote: post #2

Seems to me like an easy explanation is that a whole ton of firms wouldn't want to hold anything overnight because you can't respond to it until the next morning? So they pile in in the morning, and exit in the afternoon.

No, since expected intraday gains are negative, this would be a losing strategy. Closing price seems to be lower than opening price on average.

The suggested explanation is: buy orders are placed before open, raising opening price. The gains on the holdings are then larger than the cost of buying in the opening, and selling during the day.

Re: They Still Haven't Told You

#67

Post by Centigonal »

galaxyLogic wrote: post #60
Centigonal wrote: post #51

Earlier quoted context omitted.

The author explains what he thinks is happening on page two of this paper (which he cites in the OP, but doesn't actually explain): https://arxiv.org/pdf/1912.01708.pdf TL;DR: Stock prices in the US go up overnight and come down during the trading session. The only explanation must be that some shadowy trading firm with a lot of money is buying a bunch of $stock in the morning and selling it back later in the day (at…

If they sell later in the day that should bring the price down. How does that increase the value of the stock overnight?

The paper asserts that, if you buy an amount of stock in the morning, that moves the price up more than selling the same amount of stock in the afternoon moves the price down.

To back up this assertion, the paper cites one of the author's previous publications from 2018, which in turn cites this WSJ article: https://www.wsj.com/articles/early-birds-suffer-in-market-14...

Re: They Still Haven't Told You

#68

Post by xab31 »

Lots of condescension here, but supposing that overnight returns are in fact on average substantially greater than intraday returns, what is the layman-friendly, non-conspiracy-theory explanation of this phenomenon?

Re: They Still Haven't Told You

#69

Post by bee_rider »

Victerius wrote: post #34
pavlov wrote: post #26

Earlier quoted context omitted.

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…

>> 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.

I guess you'd have to pay somebody extra to monitor those prices overnight. And the companies themselves by-and-large are doing less in the middle of the night in their local time. I mean, I know it is pretty detached from reality, but the stock at least tries to pretend that it is in some way grounded in the fundamentals of the companies involved, right? No news, no new info to make trades on.

Re: They Still Haven't Told You

#70

Post by [deleted] »

nwiswell wrote: post #57
bloodyplonker22 wrote: post #41

Earlier quoted context omitted.

I work on wall st and, trust me, even the greenest traders know this. I think the author is trying overly hard to be dramatic in order to achieve his PhD certificate.

I don't understand: if this is a persistent effect why can't you short in the morning and cover in the afternoon?

[deleted]
Post reply on HN