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It seems like a HFT trader could arbitrage this pattern out by just taking it into account while planning other trades. If a HFT firm makes millions of trades
by chis 4y ago
It seems like a HFT trader could arbitrage this pattern out by just taking it into account while planning other trades. If a HFT firm makes millions of trades a day, then they could just slightly bias their buys/sells by considering the .1% gain from holding overnight.
- psychphysic 4y agoCould they? Seems like the easiest way to gain from this is to be long in an index. What's happened is a partition of gains into the night. Almost like some sort of Laplace demon.