NDLI: How (in)efficient is after-hours trading?

Content Provider	IEEE Xplore Digital Library
Author	Raudys, A. Mohr, E. Schmidt, G.
Copyright Year	2013
Description	Author affiliation: Oper. Res. & Bus. Inf., Saarland Univ., Saarbrucken, Germany (Mohr, E.; Schmidt, G.) \|\| Fac. of Math. & Inf., Vilnius Univ., Vilnius, Lithuania (Raudys, A.)
Abstract	In this paper we analyze US stock market after-hours trading. This is a trading outside the regular trading hours of 09:30-16:00. During this time the market is thinly traded and the possibility of price (in)efficiency arises. Price spikes up or down sometimes reaching several percent can be observed. This pattern can be exploited by a simple automated trading strategy that buys low if market drops and closes the position high on the next day when the market reopens. An empirical study using the most liquid stocks and exchange traded funds listed in NASDAQ and NYSE exchanges for the years 2000 to 2012 is conducted. We create a portfolio of ~400 automated trading strategies. The average portfolio performance is a 23 percent per annum with a Sharpe ratio of 4. This shows that prices are inefficient during after-hours trading in the US stock market. To test for significance we run an out-of-sample test from 2012 onwards.
Starting Page	27
Ending Page	33
File Size	401327
Page Count	7
File Format	PDF
ISBN	9781467359214
DOI	10.1109/CIFEr.2013.6611693
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2013-04-16
Publisher Place	Singapore
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Portfolios Liquids Stock markets Educational institutions Conferences Computational intelligence
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in