Two quality reference works I recommend reading for those interested in the substructure (hours & minutes) of price action (The books touch on the ultra high frequency microstructure also) are

1. Asset Price Dynamics, Volatility & Prediction by Stephen J. Taylor

2. Introduction to High Frequency Finance by Dacorogna, Gencay, Muller, Olsen & Pictet

At the time of their release both were somewhat controversial but the subsequent research findings have not destroyed the concepts put forth.What both books allow one to do is to take a framework for looking at markets - the so called 'stylised facts' and then start a series of tests around these theorems to see if prediction can come from description.

I have been applying derivative ideas that I have developed across the US futures markets for some time. A recent post on the site by Mr Zussman about overnight moves making up large proportions of total returns has made me revisit both the conditional heteroskedascity and time zone ideas raised by the authors.There are some morsels to be had by classifying overnight moves by both magnitude, geography and base country and applying the above.


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