2 AM ramp is real
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It has to do with the European market/pre-market open.
Interesting check for this hypothesis would be the ~3 weeks of the year when London/NY are 4 hours apart instead of 5 (realistically unlikely to be enough data though)
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https://www.newyorkfed.org/research/staff_reports/sr917 … "Finally, the timing of overnight returns shifts predictably in response to exogenous variation in the arrival time of Asian investors due to daylight savings time asynchronicities"
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TBF this completely makes sense.
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