Intraday Price and Volume Factors Across Stocks and Futures

Summary

This report summary compares high-frequency factors built from minute data for stocks and futures. It groups them into return-distribution, volume-distribution, combined price-volume, order-flow, and trend-strength measures. Examples include realized skewness, the share of downside volatility, volume at particular times of day, and correlations between price and trading activity. The reported patterns differ by market: many stock factors are described as contrarian, while several futures factors exhibit momentum. The summary also reports stronger stock reversal results after removing overnight and early-session returns from a one-month reversal signal.

The document provides selected long-short return spreads, information ratios, and annualized returns, but only as summary claims; the underlying report is referenced rather than reproduced. Some stock trend-strength results lose their apparent selection effect after controlling for style factors, and intraday volume shares do not distinguish futures consistently across contracts with different trading hours. The authors flag factor decay, liquidity, and the possibility that historical statistical relationships may cease to hold.

Key ideas

• The report builds several high-frequency factor families from intraday minute data.\nMany tested factors show reversal patterns in stocks and momentum patterns in futures.\nThe timing of intraday volume relates to subsequent stock returns but is less useful across futures.\nRemoving overnight and early-session returns strengthens the reported monthly stock reversal signal.\nSome results weaken after style controls, and the authors warn of liquidity and factor-decay risks.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.