Ivolution Research Journal · Working paper
MOC imbalance -> into-close drift (intraday impact)
Sessions where the published market-on-close imbalance (3:50 ET) is in the top/bottom decile of trailing 60 sessions show same-direction excess drift into the 4:00 close beyond the matched baseline.
Cite as: MST-05: MOC imbalance -> into-close drift (intraday impact). Ivolution Research Journal.
Publication status
The study is published as a working paper while a required data source remains unavailable. No result exists yet.
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Symbols
Not explicitly scoped
Regimes
Aggregate · Positive gamma · pin · Positive gamma · drift · Negative gamma · trend · Negative gamma · chop · Event day
Horizons
10 min · close