The Early Bird Catches the Intraday Trend

Posted: 11 Jan 2022

See all articles by Julien Turc

Julien Turc

BNP Paribas; Ecole Polytechnique

Jerome Gava

BNP Paribas; Ecole Polytechnique

Roxton McNeal

Independent

Date Written: September 13, 2021

Abstract

Large movements during the night tend to have a lasting influence on the next trading session. By following the resulting trends, investors can benefit from fluctuations in the returns of major equity indices during the trading session. This study extends recent research on late-day trading and shows that trends are best caught early during the day. Intraday patterns are revealed using machine learning techniques, and new evidence on the origin of trends is presented. The defensive nature of intraday trend strategies is illustrated by considering the business cycle, investigating correlation with government bonds and simulating the impact on a multi-asset portfolio.

Keywords: Intraday; trend following; knowledge graphs; equity futures; developed markets; machine learning; systematic investing; portfolio construction; tail risks

JEL Classification: G12

Suggested Citation

Turc, Julien and Gava, Jerome and McNeal, Roxton, The Early Bird Catches the Intraday Trend (September 13, 2021). Available at SSRN: https://ssrn.com/abstract=3922814

Julien Turc (Contact Author)

BNP Paribas ( email )

20 boulevard des Italiens
Paris, 75009
France

Ecole Polytechnique ( email )

Route de Saclay
Palaiseau, 91120
France

HOME PAGE: http://https://portail.polytechnique.edu/economie/en

Jerome Gava

BNP Paribas ( email )

20 Boulevard des Italiens
Paris, 75009
France

Ecole Polytechnique ( email )

Route de Saclay
Palaiseau, 91128
France

HOME PAGE: http://https://portail.polytechnique.edu/economie/en

Roxton McNeal

Independent ( email )

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