Overnight–Intraday Weekly Reversal in Currency Futures

Log in to collect

Academic paper

Market Closure and Short-Term Reversal

Authors市场休市和短期反转

Institute
  • Centre for Economic Policy Research
  • Centre for Economic Policy Research (CEPR)
  • Imperial College Business School
  • University of Oxford
  • Quantitative BioSciences
  • CEPR (Centre for Economic Policy Research)
  • University of Oxford, Oxford-Man Institute of Quantitative Finance
  • Tsinghua University
  • Tsinghua University, School of Economics and Management

This strategy is gated

A paid plan unlocks the full write-up, rules, Python, and trade lists. About 20% of the library stays free.

Universe: EFA, EWJ, EWG, EWU, EWC, BIL. Parameters: rebalance=weekly.