They say that stocks go down during the day and up at night • Hacker News Board

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

#91

Post by jjtheblunt » Tue, Feb 07, 2023, 3:46 PM UTC

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.

What about finding a company with reliable business model and stable dividends and reinvesting those, instead of trying to do HFT?

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

#92

Post by JamesSwift » Tue, Feb 07, 2023, 3:47 PM UTC

dahfizz wrote: post #81

planede wrote: post #76

Earlier quoted context omitted.

> preallocate all the memory you could need Well, why did they have to restart if they never made any further allocations? This does not add up.

Because the memory fills up. You pre-allocate a million orders, and send 800k orders a day, leaving only 200k free slots. You're going to run out mid day tomorrow if you don't restart.

That just sounds like a memory leak with more words. Is the memory reclaimed/reclaimable? No? Ok then it leaked. If the system were able to reclaim the memory from the order, you wouldn't need to restart it. The memory arena strategy doesnt change that.

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

#93

Post by brrrrrm » Tue, Feb 07, 2023, 3:48 PM UTC

jjtheblunt wrote: post #90

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…

What is meant by to arbitrage out?

I believe they mean exploit the arbitrage opportunity to the point that the opportunity ceases to exist

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

#94

Post by MuffinFlavored » Tue, Feb 07, 2023, 3:52 PM UTC

quantgenius wrote: post #78

bryanrasmussen wrote: post #2

Since the article is not very informative, and it's a real rabbit hole to try to track this stuff down across all the linked articles etc. and as I don't even really care about stocks and the market, 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?

In the US the stock market officially opens at 9:30 and closes at 16:00 NY time every day. The day return is the return from the first trade (the official opening price but it would take too long to explain the the difference) at or after 9:30 to the last trade at or before 16:00 (the official closing price) and the night return is the return from the closing price to the opening price the next trading day.

premarket 7am NY to 9:29am NY

regular market ends 3:59:59pm NY

post market starts 4:00pm NY, ends 8:00pm NY

correct?

8pm to 7am there’s no way to trade something like SPY and to be honest as a retail investor, can i even buy pre/post market on like, fidelity?

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

#95

Post by chis » Tue, Feb 07, 2023, 3:54 PM UTC

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…

It seems like a HFT trader could arbitrage this pattern out by just taking it into account while planning other trades. If a HFT firm makes millions of trades a day, then they could just slightly bias their buys/sells by considering the .1% gain from holding overnight.

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

#96

Post by traceroute66 » Tue, Feb 07, 2023, 3:56 PM UTC

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

There are lots of things "they say" about the markets, "sell in May and go away" is another famous one.

Most of it pure BS, some of it is half-true, and the rest are sayings that date back to the "good old days" pre-HFT, Hedge Funds and leveraged trading.

Frankly "stocks go up at night" is a ludicrous proposition.

Feel free to give it a go, but corporate actions, corporate RNS, world events ....."events dear boy, events" will very happily shit on you from a great height if you think you're going to make money through short-term overnight holding.

"Time in the market is better than timing the market" is about the only true saying that remains.

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

#97

Post by psychphysic » Tue, Feb 07, 2023, 4:01 PM UTC

chis wrote: post #95

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…

It seems like a HFT trader could arbitrage this pattern out by just taking it into account while planning other trades. If a HFT firm makes millions of trades a day, then they could just slightly bias their buys/sells by considering the .1% gain from holding overnight.

Could they? Seems like the easiest way to gain from this is to be long in an index.

What's happened is a partition of gains into the night.

Almost like some sort of Laplace demon.

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

#98

Post by rootusrootus » Tue, Feb 07, 2023, 4:01 PM UTC

jjtheblunt wrote: post #91

rootusrootus wrote: post #82

Earlier quoted context omitted.

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.

What about finding a company with reliable business model and stable dividends and reinvesting those, instead of trying to do HFT?

I don't think too many people would suggest algorithmic trading as a retirement strategy. Nor is investing in a single company a great plan, regardless of their dividend stability. I'm a confirmed Boglehead myself, but I do enjoy playing games with my lunch money. Options, crypto, or just individual stocks if I like the company. And yeah, it does help if they are a Dividend Aristocrat if I plan to hold that stock for any length of time.

I've also considered trying some algorithmic trading at lesser known markets, because it is interesting.

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

#99

Post by uoaei » Tue, Feb 07, 2023, 4:05 PM UTC

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. *…

Phenomenon is singular, phenomena is plural. The same is true for other words of similar form (criterion, etc.).

I have an unusual sensitivity to societal grammar, spelling, pronunciation patterns vs the literal rules of language, and only recently has it been clear that most people who use those words use them very consistently incorrectly. This seems to have changed since I was a child.

For all the talk about how the Internet's information educates us, we still need to acknowledge that people need to seek out and be receptive to that information.

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

#100

Post by ChicagoBoy11 » Tue, Feb 07, 2023, 4:05 PM UTC

traceroute66 wrote: post #96

> They say that stocks go down during the day and up at night There are lots of things "they say" about the markets, "sell in May and go away" is another famous one. Most of it pure BS, some of it is half-true, and the rest are sayings that date back to the "good old days" pre-HFT, Hedge Funds and leveraged trading. Frankly "stocks go up at night" is a ludicrous proposition. Feel free to give it a go, but corporate a…

This one, too, turns out to be incorrect. The source of this is mostly due to the fact that, in fact, if you average out over a longer time horizon, your annualized returns do in fact average out. However, what people miss is that fact that this annualization is being compounded over that entire time as well, so small disturbances to it end up having quite a substantial impact on that end result. The only REAL form of diversification is asset class, not time.