Sell at dawn and go away – but come back after lunch
Historic and well-known intraday seasonal patterns can deliver return-to-risk ratios in excess of 1. Tradefeedr’s Alexei Jiltsov explores whether execution desks should employ these factors
The variables that help forecast the future direction of asset prices are a hot commodity. Every time predictability is discovered, it is eventually either arbitraged away or labelled as a risk factor. The former is commonly known as alpha, while the latter is often referred to as alternative – or smart – beta. The efficient market theory refers to the discovery of predictability as anomalies.
By definition, predictability is any repeatable pattern in prices. Some well-known patterns are not
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