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Open Graph

title

Quant Mashup - Quantocracy

description

Quant trading blogs, trading strategies and quantitative research.

image

site name

Quantocracy

author

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2026-01-23 01:16:02

raw text

Quant Mashup - Quantocracy Quantocracy Quant Blog Mashup ST Quant Mashup About About Quantocracy FAQs Contact Us ST Quant Mashup The Overnight Anomaly: Alive and Well [Return Sources] In finance, the “overnight anomaly” is the name for the unusual phenomenon that overnight stock market returns are much higher than intraday returns. In a 2008 paper, “Return Differences between Trading and Non-trading Hours: Like Night and Day”, the authors break down the U.S. equity - 2 days ago , 22 Nov 2023, 12:15am - A Long-Term Look at the Wednesday Before Thanksgiving [Quantifiable Edges] Thanksgiving week has shown some strong seasonal tendencies over the years. I’ve documented this in years past on the blog. From a seasonal standpoint, Wednesday before Thanksgiving is one of the most bullish trading days of the year. The chart below shows performance from Tuesday’s close to - 2 days ago , 22 Nov 2023, 12:13am - Exponentially weighted covariance in an Equal Risk...

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