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Intraday time‐series momentum: Evidence from China

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Outgoing claims: the papers this work cites, builds on, or argues with.

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Price discovery in the German equity index derivatives markets
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Forecasting Stock Returns
inferredcites →https://doi.org/10.1016/j.finmar.2016.09.002openalex-snapshot
Intraday momentum in FX markets: Disentangling informed trading from liquidity provision
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Overnight returns of stock indexes: Evidence from ETFs and futures
inferredcites →https://doi.org/10.1016/j.irfa.2019.101394openalex-snapshot
Overnight Momentum, Informational Shocks, and Late-Informed Trading in China
inferredcites →https://doi.org/10.1016/j.jbankfin.2010.09.022openalex-snapshot
Does the “Bund” dominate price discovery in Euro bond futures? Examining information shares
inferredcites →https://doi.org/10.1016/j.jbankfin.2016.09.010openalex-snapshot
Stock return predictability and investor sentiment: A high-frequency perspective
inferredcites →https://doi.org/10.1016/j.jfineco.2004.01.004openalex-snapshot
Professional trader discipline and trade disposition
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The “make or take” decision in an electronic market: Evidence on the evolution of liquidity
inferredcites →https://doi.org/10.1016/j.jfineco.2011.11.003openalex-snapshot
Time Series Momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2018.05.009openalex-snapshot
Market intraday momentum
inferredcites →https://doi.org/10.1080/10293523.2009.11082514openalex-snapshot
Intraday momentum and contrarian effects on the JSE
inferredcites →https://doi.org/10.1093/rfs/1.1.3openalex-snapshot
A Theory of Intraday Patterns: Volume and Price Variability
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1111/0022-1082.00072openalex-snapshot
Are Investors Reluctant to Realize Their Losses?
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Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
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Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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On the Predictability of Stock Returns: An Asset‐Allocation Perspective
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00831.xopenalex-snapshot
Information Uncertainty and Stock Returns
inferredcites →https://doi.org/10.1111/jofi.12436openalex-snapshot
Infrequent Rebalancing, Return Autocorrelation, and Seasonality
inferredcites →https://doi.org/10.2139/ssrn.166840openalex-snapshot
Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
inferredcites →https://doi.org/10.2139/ssrn.2905713openalex-snapshot
Intra-Day Momentum
inferredcites →https://doi.org/10.2139/ssrn.618983openalex-snapshot
A Study of Intraday Returns
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Continuous Auctions and Insider Trading
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On the Predictability of Stock Returns: An Asset-Allocation Perspective

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Is There an Intraday Momentum Effect in Commodity Futures and Options: Evidence from the Chinese Market
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inferred← citeshttps://doi.org/10.1002/fut.22375openalex-snapshot
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inferred← citeshttps://doi.org/10.1007/s11156-024-01319-8openalex-snapshot
Investor clientele and intraday patterns in the cross section of stock returns
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Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market
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Intraday momentum and return predictability: Evidence from the crude oil market
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inferred← citeshttps://doi.org/10.1016/j.iref.2026.105679openalex-snapshot
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Time Series Momentum and Reversal: Intraday Information from Realized Semivariance
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Correlation-based investment strategies: A comparison between Chinese and US stock markets
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Is there a time-series momentum effect in the Asian crude oil futures market?
inferred← citeshttps://doi.org/10.1016/j.pacfin.2024.102534openalex-snapshot
Is there an intraday reversal effect in commodity futures and options? Evidence from the Chinese market
inferred← citeshttps://doi.org/10.1016/j.pacfin.2025.102983openalex-snapshot
Volatility and skewness predictability with deep learning and big data: Chinese futures market case
inferred← citeshttps://doi.org/10.1016/j.resourpol.2020.101830openalex-snapshot
Intraday return predictability: Evidence from commodity ETFs and their related volatility indices
inferred← citeshttps://doi.org/10.1016/j.ribaf.2020.101278openalex-snapshot
Intraday Momentum in Chinese Commodity Futures Markets
inferred← citeshttps://doi.org/10.1080/00036846.2021.1983151openalex-snapshot
Time-series momentum in individual stocks: is it there and where to look?
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Realized skewness and momentum
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inferred← citeshttps://doi.org/10.1111/fire.12290openalex-snapshot
Bitcoin intraday time series momentum
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Investor Sentiment in an Artificial Limit Order Market
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Cryptocurrencies: Asset Classification, Trading and Portfolio Management
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OmniFormer: A Patch Transformer for Joint Long-Term Multi-Dimensional Cryptocurrency Time Series Forecasting
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Intraday Patterns of Liquidity on the Warsaw Stock Exchange before and after the Outbreak of the COVID-19 Pandemic
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