Buy The Close?
Interesting research out of Credit Suisse this morning:
"In today's markets, where thousands of participants compete for an edge, no statistical analysis is overlooked. This is also an era where holding periods for some can be measured in microseconds. With an eye towards intraday, statistical trading, as opposed to fundamental buy and hold, are some time intervals more profitable than others?
Looking at median returns of the S&P500 in 30 minute intervals, and despite an overall up-and-down market for the year, nearly every interval had a positive median return in 2010. In January 2011 however, the picture was more mixed, with ups and downs throughout the day.
Something consistent between the samples though; both were strongly positive going into the close.
GB
"In today's markets, where thousands of participants compete for an edge, no statistical analysis is overlooked. This is also an era where holding periods for some can be measured in microseconds. With an eye towards intraday, statistical trading, as opposed to fundamental buy and hold, are some time intervals more profitable than others?
Looking at median returns of the S&P500 in 30 minute intervals, and despite an overall up-and-down market for the year, nearly every interval had a positive median return in 2010. In January 2011 however, the picture was more mixed, with ups and downs throughout the day.
Something consistent between the samples though; both were strongly positive going into the close.
GB
posted by Gordon Bell at
7:12 AM
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