Ivolution Research Journal · Working paper

MOC imbalance -> multi-day reversal

A large one-sided SPY market-on-close imbalance is followed by a reversal (opposite-signed cumulative return) over the next 1-3 sessions.

MST-01 · v1·Proposed·Plausible — unproven·Microstructure

Cite as: MST-01: MOC imbalance -> multi-day reversal. Ivolution Research Journal.

Publication status

The study is published as a working paper while a required data source remains unavailable. No result exists yet.

The abstract and product-safe scope metadata are public. Methodology, falsification, limitations, citations, and governed results for MST-01 are available to Terminal + AI members.

Symbols

SPY

Regimes

Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day

Horizons

1 session · 3 sessions

MST-01: MOC imbalance -> multi-day reversal — Ivolution Research Journal