Major Issues in High-frequency Financial Data Analysis: A Survey of Solutions

Zhang, Lu; Hua, Lei

doi:10.2139/ssrn.4834362

SSRN Journal

2024

DOI: 10.2139/ssrn.4834362

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Major Issues in High-frequency Financial Data Analysis: A Survey of Solutions

Lu Zhang,

Lei Hua

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2024

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Market Predictability Before the Closing Bell Rings

Zhang,

Hua

2024

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This study examines the predictability of the last 30 min of intraday stock price movements within the US financial market. The analysis encompasses several potential explanatory variables, including returns from each 30 min intraday trading session, overnight returns, the federal reserve fund rate decision days and the subsequent three days, the US dollar index, month effects, weekday effects, and market volatilities. Market-adaptive trading strategies are developed and backtested on the basis of the study’s insights. Unlike the commonly employed multiple linear regression methods with Gaussian errors, this research utilizes a Bayesian linear regression model with Student-t error terms to more accurately capture the heavy tails characteristic of financial returns. A comparative analysis of these two approaches is conducted and the limitations inherent in the traditionally used method are discussed. Our main findings are based on data from 2007 to 2018. We observed that well-studied factors such as overnight effects and intraday momentum have diminished over time. Some other new factors were significant, such as lunchtime returns during boring days and the tug-of-war effect over the days after a federal fund rate change decision. Ultimately, we incorporate findings derived from data spanning 2022 to 2024 to provide a contemporary perspective on the examined components, followed by a discussion of the study’s limitations.

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Market Predictability Before the Closing Bell Rings

Zhang,

Hua

2024

Risks

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Major Issues in High-frequency Financial Data Analysis: A Survey of Solutions

Cited by 1 publication

References 98 publications

Market Predictability Before the Closing Bell Rings

Market Predictability Before the Closing Bell Rings

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