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Researching Calendar Effects, Closing Imbalances, and Futures Expiries

Article Quant Q&A · Author: bloodynri
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Summary

The document proposes several event-driven market patterns as possible subjects for trading research: bond activity around month-end, imbalances near the daily close in cash equities, and price behavior around futures expiration or settlement, with VIX futures given as an example. The author says high-frequency trading data are available, making fine-grained study of these events feasible.

No research design, results, or trading strategy is supplied. The examples are prompts for investigation, not evidence that the effects exist, persist, or can be exploited after costs. A useful study would need to define the event window and relevant instruments, compare event periods with suitable controls, and account for changes in market structure and execution costs. The mention of possible settlement manipulation is framed as an area of interest; the document does not establish that manipulation occurred. Its value is as a compact agenda for event-centered market-microstructure research, rather than as a source of validated signals.

Key ideas

  • Month-end activity in bonds is suggested as a possible event-centered research topic.
  • Closing imbalances in cash equities may be studied with high-frequency data.
  • Futures expiration and settlement behavior, including in volatility futures, are proposed for analysis.
  • The document gives research prompts but no methods, findings, or validated trading signals.
  • Any apparent event effect would need controls and consideration of execution costs and market structure.

Tags

High-frequency tradingMarket microstructureEvent-drivenFuturesEquities
Full text
# What are some special trading phenomena that would be interesting to research?


# What are some special trading phenomena that would be interesting to research?












I'm looking to research special trading phenomena like end-of-month bonds activity, daily closing imbalances in cash equities, futures expiration/settlement manipulation (like in VIX) etc. What are some other interesting phenomena? I have access to all kinds of hft data so that won't be a problem.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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