Market Science
Time of Day Report
July 10, 2019
Updated 10Jul2019, 13:02:43 UTC
NOTE: THE CONTENT IN THIS DOCUMENT IS CONFIDENTIAL AND PROPRIETARY.
While care has been made to ensure accuracy in the preparation of this document, slight variations in data may exist due to inconsistencies from data providers and applications. Derivatives trading involves substantial risk of loss. Past performance is not necessarily indicative of future results. Market Science employees may hold positions in instruments mentioned herein.
While care has been made to ensure accuracy in the preparation of this document, slight variations in data may exist due to inconsistencies from data providers and applications. Derivatives trading involves substantial risk of loss. Past performance is not necessarily indicative of future results. Market Science employees may hold positions in instruments mentioned herein.
Time of Day Effects
Note: The bands on the following charts represent extreme distribution values for re-shuffled data ignoring the time of day. Values outside of these bands indicate a greater chance of an actual market anomaly/inefficiency than effects of pure randomness. This does not eliminate the possibility of seeing such an effect due to chance, only reduces it.
Hourly Volume
Hourly Volatility
*a reading of 100 bps would indicate that $\frac{high - low}{open}$ for that hourly bar = 1%
Hourly Performance
Hourly Trend
*Candle Body Ratio is defined as $\frac{\lvert{open - close}\rvert}{high - low}$
Higher values indicate stronger trend days, while lower values indicate choppier days
Funding Interval Effects
Hourly Heatmaps
