Couple of questions:
1) is there a website that has historical overnight equity data for the US markets?
2) I'm interested in studying the effects of extreme high/low overnight moves on subsequent daily moves for any given stock.
The most obvious would be whether an extreme down move o/n leads to a tradable short position off the open on the following day- and vice versa (extreme upmove o/n leads to a tradable long position on the following day. Can anyone point to data/studies/books that describes this research. I'd be happy to submit any of my research for the perusal of the ET members.
thanks.
Dave
1) is there a website that has historical overnight equity data for the US markets?
2) I'm interested in studying the effects of extreme high/low overnight moves on subsequent daily moves for any given stock.
The most obvious would be whether an extreme down move o/n leads to a tradable short position off the open on the following day- and vice versa (extreme upmove o/n leads to a tradable long position on the following day. Can anyone point to data/studies/books that describes this research. I'd be happy to submit any of my research for the perusal of the ET members.
thanks.
Dave