Research method
Session analysis
Session analysis is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Research filter
- Input
- Order book, spread, volume, auction and trading costs
- Horizon
- Seconds to the order life cycle
- Best use
- Choose an executable order and account for implementation cost.
- Input: Order book, spread, volume, auction and trading costs.
- Output: filter.
- Use boundary: Choose an executable order and account for implementation cost.
The graph5
How the method is built, and where it has been read
Depends on
Often reviewed together
Pre-trade checklist4 readings
Often reviewed together
Rule-based entry5 readings
Often reviewed together
Volume profile5 readings
Often reviewed together
Market profile5 readings
Often reviewed together
OHLC bar construction6 readings
Read in the archive24 of 42 readings
1985Exchange controls that close the trading-window1988Folding night auctions into daily OHLC bars1988Constructing auction structure with volume as a clock1988Constructing session decisions from auction age and volume1989Range extension after the opening auction1990Constructing overlay profiles to map auction value1990Constructing daily overlay profiles for auction brackets and breaks1990Constructing a second-hour session residual exponential index1991Overnight versus session decomposition of futures bars1992Converting OHLC, session, and rollover series for analysis2000Treat an open limit book as an execution filter2000The listed cash open as a three-clock execution problem2002Treat the session as an auction: find value, then judge the breakout2002Constructing a long, short, or flat pre-trade checklist2003Treat an opening gap as a completed session event2003Equal session OHLC bars for multiframe stochastic decisions2003Continuous FX auctions, session-cuts, and gap proxies2003Session-window trims for mechanical day-system evaluation2004Overnight session entry rules after regular hours2005Overnight and regular session execution in Nasdaq 100 names2006The intraday workspace as a combined decision procedure2006Same-session trading needs presence and next-signal rules2007Opening-range breakout as one session procedure2007Session filters for moving-average entry rules
This registry entry describes a research method. It is not investment advice and does not make a performance claim.