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Intraday Time Series Reversal

https://doi.org/10.2139/ssrn.5807282
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Intraday time‐series momentum: Evidence from China
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Understanding intraday momentum strategies
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Intraday momentum in FX markets: Disentangling informed trading from liquidity provision
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Examining high-frequency patterns in Robinhood users’ trading behavior
inferredcites →https://doi.org/10.1016/j.jbankfin.2004.04.006openalex-snapshot
Intraday price reversals in the US stock index futures market: A 15-year study
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Individual investor perceptions and behavior during the financial crisis
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Return signal momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2004.06.004openalex-snapshot
Evidence on the speed of convergence to market efficiency
inferredcites →https://doi.org/10.1016/j.jfineco.2011.11.003openalex-snapshot
Time Series Momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-snapshot
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2016.01.005openalex-snapshot
Are retail traders compensated for providing liquidity?
inferredcites →https://doi.org/10.1016/j.jfineco.2018.05.009openalex-snapshot
Market intraday momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2019.03.011openalex-snapshot
A tug of war: Overnight versus intraday expected returns
inferredcites →https://doi.org/10.1016/j.jfineco.2020.07.020openalex-snapshot
The cross-section of intraday and overnight returns
inferredcites →https://doi.org/10.1016/j.jfineco.2021.04.029openalex-snapshot
Hedging demand and market intraday momentum
inferredcites →https://doi.org/10.1016/j.jfineco.2021.09.019openalex-snapshot
Overnight returns, daytime reversals, and future stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2022.08.002openalex-snapshot
Retail trader sophistication and stock market quality: Evidence from brokerage outages
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Liquidity in the global currency market
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Synchronization risk and delayed arbitrage
inferredcites →https://doi.org/10.1016/s0378-4266(99)00072-2openalex-snapshot
Intraday price reversals for index futures in the US and Hong Kong
inferredcites →https://doi.org/10.1017/s0022109012000270openalex-snapshot
Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open
inferredcites →https://doi.org/10.1017/s0022109017000989openalex-snapshot
Overnight Returns and Firm-Specific Investor Sentiment
inferredcites →https://doi.org/10.1017/s0022109021000387openalex-snapshot
Flattening the Illiquidity Curve: Retail Trading During the COVID-19 Lockdown
inferredcites →https://doi.org/10.1093/jjfinec/nbab007openalex-snapshot
Intraday Market Predictability: A Machine Learning Approach
inferredcites →https://doi.org/10.1093/rapstu/raaa008openalex-snapshot
The Unprecedented Stock Market Reaction to COVID-19
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Coronavirus: Impact on Stock Prices and Growth Expectations
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Feverish Stock Price Reactions to COVID-19*
inferredcites →https://doi.org/10.1093/rfs/hhab055openalex-snapshot
Short-term Momentum
inferredcites →https://doi.org/10.1093/rfs/hhg030openalex-snapshot
Price Discovery and Trading After Hours
inferredcites →https://doi.org/10.1093/rfs/hhu068openalex-snapshot
Digesting Anomalies: An Investment Approach
inferredcites →https://doi.org/10.1093/rof/rfw048openalex-snapshot
The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets
inferredcites →https://doi.org/10.1111/0022-1082.00226openalex-snapshot
Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
inferredcites →https://doi.org/10.1111/fire.12290openalex-snapshot
Bitcoin intraday time series momentum
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Does the Stock Market Overreact?
inferredcites →https://doi.org/10.1111/j.1540-6261.1990.tb05110.xopenalex-snapshot
Evidence of Predictable Behavior of Security Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01573.xopenalex-snapshot
Intraday Patterns in the Cross‐section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01727.xopenalex-snapshot
Individual Investor Trading and Return Patterns around Earnings Announcements
inferredcites →https://doi.org/10.1111/jfir.12223openalex-snapshot
JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY
inferredcites →https://doi.org/10.1111/jfir.12247openalex-snapshot
Round‐number biases on trading time: Evidence from international markets
inferredcites →https://doi.org/10.1111/jofi.12436openalex-snapshot
Infrequent Rebalancing, Return Autocorrelation, and Seasonality
inferredcites →https://doi.org/10.1111/jofi.13033openalex-snapshot
Tracking Retail Investor Activity
inferredcites →https://doi.org/10.1111/jofi.13183openalex-snapshot
Attention‐Induced Trading and Returns: Evidence from Robinhood Users
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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