Different but related topic: I’m curious if you might find a research paper about the following:
Which hour(s) of the trading day are the most volatile and which are the least volatile. Measuring ideally over at least the last 10 years, with focus on the Nasdaq and NYSE and/or the S&P 500 and Nasdaq Composite.
Different but related topic: I’m curious if you might find a research paper about the following:
Which hour(s) of the trading day are the most volatile and which are the least volatile. Measuring ideally over at least the last 10 years, with focus on the Nasdaq and NYSE and/or the S&P 500 and Nasdaq Composite.
Below is a quick find from ChatGPT and I linked one of the sources it cited, maybe you find something better than this old piece from 1997: https://www.sciencedirect.com/science/article/abs/pii/S0927539897000042
Here are key parts of the answer by ChatGPT:
https://substack.com/profile/369074133-stefan-schmidt/note/c-316807755
This article might help
https://digitalcommons.chapman.edu/business_articles/176/
Great, thank you!
Interesting to know that volatility declines through the trading day.
I recalled that a recent paper, published a few years ago, also showed the U shape. I’m trying to locate it.