{"id":2053641,"date":"2016-09-15T14:16:49","date_gmt":"2016-09-15T08:46:49","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2053641"},"modified":"2016-09-15T14:16:49","modified_gmt":"2016-09-15T08:46:49","slug":"intraday-momentum","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2016\/09\/15\/intraday-momentum\/","title":{"rendered":"Intraday Momentum"},"content":{"rendered":"<h3>The Research<\/h3>\n<p>In their paper, Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return (<a href=\"http:\/\/www1.villanova.edu\/content\/dam\/villanova\/VSB\/assets\/marc\/marc2015\/MARC%202015%20-%2066%20-%20Yufeng%20Han%20Paper.pdf\" target=\"_blank\">pdf<\/a>,) the authors assert that the first half-hour return on the market predicts the last half-hour return on the market. <\/p>\n<h3>Our take<\/h3>\n<p>It seems to apply only to the selection of ETFs contained in their research. We ran a sniff-test on our very own NIFTY 50 index. If there was any correlation between the first half-hour and the last half-hour, it should have shown up in the top-right plot:<\/p>\n<p><a href=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/09\/NIFTY50.Intraday.png\"><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/09\/NIFTY50.Intraday.png\" alt=\"nifty50-intraday\" width=\"1000\" height=\"600\" class=\"alignnone size-full wp-image-2053651\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/09\/NIFTY50.Intraday.png 1000w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/09\/NIFTY50.Intraday-300x180.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/09\/NIFTY50.Intraday-768x461.png 768w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2016\/09\/NIFTY50.Intraday-500x300.png 500w\" sizes=\"auto, (max-width: 1000px) 100vw, 1000px\" \/><\/a><\/p>\n<p>We admit that our sample size is small. We will continue to accumulate data and run this script a year from now to see if any relationship emerges from the data. Stay tuned!<\/p>\n","protected":false},"excerpt":{"rendered":"<p>The Research In their paper, Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return (pdf,) the authors assert that the first half-hour return on the market predicts the last half-hour return on the market. Our take It seems to apply only to the selection of ETFs contained in their research. We ran a &hellip; <\/p>\n","protected":false},"author":2,"featured_media":0,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,9],"tags":[2761],"class_list":["post-2053641","post","type-post","status-publish","format-standard","hentry","category-investing-insight","category-your-money","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2053641","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2053641"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2053641\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2053641"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2053641"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2053641"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}