Research / Temporal and seasonal

Same time of day

A slot of the trading day tends to resemble the same slot on earlier days.

The idea

Returns in a given slot of the trading day tend to resemble returns in the same slot on earlier days.

Why it might exist

Participants with daily schedules, such as funds rebalancing and orders sliced across the day, act at similar times and leave a repeating footprint.

Who is on the other side

Traders whose timing is set by a schedule, not by price.

What would retire it

The pattern fails on later data, or cost per session consumes it.