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Pricing

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.

Registry evidence level: replicated. This is a navigation record, not a performance claim.

  • 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

Read in the archive24 of 42 readings

1985Exchange controls that close the trading-windowAuction and volume1988Folding night auctions into daily OHLC barsAuction and volume1988Constructing auction structure with volume as a clockAuction and volume1988Constructing session decisions from auction age and volumeAuction and volume1989Range extension after the opening auctionAuction and volume1990Constructing overlay profiles to map auction valueAuction and volume1990Constructing daily overlay profiles for auction brackets and breaksAuction and volume1990Constructing a second-hour session residual exponential indexIndicators and filters1991Overnight versus session decomposition of futures barsAuction and volume1992Converting OHLC, session, and rollover series for analysisAuction and volume2000Treat an open limit book as an execution filterAuction and volume2000The listed cash open as a three-clock execution problemAuction and volume2002Treat the session as an auction: find value, then judge the breakoutAuction and volume2002Constructing a long, short, or flat pre-trade checklistDecision process2003Treat an opening gap as a completed session eventStatistical tests2003Equal session OHLC bars for multiframe stochastic decisionsDecision process2003Continuous FX auctions, session-cuts, and gap proxiesAuction and volume2003Session-window trims for mechanical day-system evaluationSystem design2004Overnight session entry rules after regular hoursEntry and exit rules2005Overnight and regular session execution in Nasdaq 100 namesAuction and volume2006The intraday workspace as a combined decision procedureDecision process2006Same-session trading needs presence and next-signal rulesDecision process2007Opening-range breakout as one session procedureEntry and exit rules2007Session filters for moving-average entry rulesEntry and exit rules
This registry entry describes a research method. It is not investment advice and does not make a performance claim.