Empirical analysis shows that there are several pronounced dynamics on an intraday level; volume, volatility and even prices are often reported to have higher values at the opening and the close of the market. Historically, researchers were constrained to using limited daily observations but with the increase in computing power and the availability of High Frequency TICK Data more elaborate analysis is possible.
Perhaps surprisingly, returns have been found to have a certain level of predictability on an intraday level. Both Gao, Han & Li (2015) and Heston, Korajczyk & Sakda (2010) find patterns of return continuation. Moreover, this predictability is economically interesting. For example, Heston et al. (2010) find that timing trades can reduce execution costs by the equivalent of the effective spread.
This internship is about understanding the driving factors behind the intraday dynamics across various futures markets. The ultimate aim is to generate new alpha strategies, understand flow patterns in markets, and possible be better able to time trades and reduce execution costs.
Heston, S. L., Korajczyk, R. A., & Sadka, R. (2010). Intraday Patterns in the Cross‐section of Stock Returns. The Journal of Finance, 65(4), 1369-1407.
Gao, L., Han, Y., Li, S. Z., & Zhou, G. (2015). Intraday momentum: The first half-hour return predicts the last half-hour return. Working paper SSRN.
Andersen, T. G., & Bollerslev, T. (1997). Intraday periodicity and volatility persistence in financial markets. Journal of Empirical Finance, 4(2), 115-158.