I recently spotted the following intriguing paper: Market intraday momentum.
From the abstract of that paper:
Based on high frequency S&P 500 exchange-traded fund (ETF) data from 1993–2013, we show an intraday momentum pattern: the first half-hour return on the market as measured from the previous day’s market close predicts the last half-hour return. This predictability, which is both statistically and economically significant is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days.
Nice! Looks like we can all become rich now. I mean, given how it’s written, it should be quite easy for any individual with a trading account and a mouse to leverage up and start accumulating. Maybe this is so, but let’s have an informal closer look, with as little effort as possible, and see if there is anything we can say about this idea.