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1---2project: anomaly-atlas3document: Phase 1 notes — calendar & intraday seasonal effects4author: Simon-Pierre Boucher5contact: contact@spboucher.ai6data_source: hfmarketdata.io7created: 2026-08-128status: reviewed9---1011# Calendar & intraday seasonal effects (Q3)1213*Phase 1 literature notes. Citations verified via OpenAlex, accessed142026-08-12. The calendar space is the p-hacking capital of finance — every15claim below must be read against the Sullivan–Timmermann–White result (see16multiple-testing notes).*1718## 1. The classic effects1920- French, K. R. (1980). Stock returns and the weekend effect. *Journal of Financial Economics* 8(1), 55–69. https://doi.org/10.1016/0304-405X(80)90021-5 — Systematically negative Monday returns. **Status: decayed** — one of the cleanest documented post-publication disappearances.21- Ariel, R. A. (1987). A monthly effect in stock returns. *Journal of Financial Economics* 18(1), 161–174. https://doi.org/10.1016/0304-405X(87)90066-3 — Returns concentrate in the first half of the month (turn-of-month). **Status: disputed/partially persistent.**22- Lakonishok, J. & Smidt, S. (1988). Are Seasonal Anomalies Real? A Ninety-Year Perspective. *Review of Financial Studies* 1(4), 403–425. https://doi.org/10.1093/rfs/1.4.403 — 90 years of DJIA data confirm turn-of-week/month/year and holiday effects, while *explicitly warning about data-snooping* — remarkably ahead of its time. **Status: the effects it confirmed have mostly decayed; the warning is robust.**23- Wood, R. A., McInish, T. H. & Ord, J. K. (1985). An Investigation of Transactions Data for NYSE Stocks. *Journal of Finance* 40(3), 723–739. https://doi.org/10.2307/2327796 — Minute-data intraday **U-shape** in returns/volatility at open and close. **Status: robust as a *volatility/spread* pattern; as a *return* anomaly, likely-artifact** (auction mechanics, spread seasonality).2425## 2. The modern intraday variant2627- Gao, L., Han, Y., Li, S. Z. & Zhou, G. (2018). Market intraday momentum. *Journal of Financial Economics* 129(2), 394–414. https://doi.org/10.1016/j.jfineco.2018.05.009 — First half-hour SPY return predicts the last half-hour. Testable 1:1 on our data (SPY 1min, 2000→2026). **Status: disputed — decay after publication is itself a good expE sub-hypothesis.**28- Baltussen, G., Da, Z., Lammers, S. & Martens, M. (2021). Hedging demand and market intraday momentum. *Journal of Financial Economics* 142(1), 377–403. https://doi.org/10.1016/j.jfineco.2021.04.029 — Mechanism: option gamma-hedging flows; the effect varies with hedging conditions. Gives us a *mechanism prior* — and our options chains (67 quarters) can proxy the hedging-demand state.2930## 3. Decay evidence specific to calendars3132- Schwert, G. W. (2003). Anomalies and Market Efficiency. *Handbook of the Economics of Finance*, 939–974. https://doi.org/10.1016/S1574-0102(03)01024-0 — Size, weekend, dividend, and January effects weaken or vanish after publication.33- Marquering, W., Nisser, J. & Valla, T. (2006). Disappearing anomalies: a dynamic analysis of the persistence of anomalies. *Applied Financial Economics* 16(4), 291–302. https://doi.org/10.1080/09603100500400361 — Rolling-window analysis: weekend, holiday, time-of-month, January all gone post-publication; **turn-of-month persisted** (as of 2006). Makes turn-of-month the single most interesting calendar hypothesis to re-test on 2000–2026 data.3435## 4. Artifact confounds specific to Q3 (feed the taxonomy)36371. **Spread/staleness intraday seasonality**: spreads and staleness are38   widest at the open — a "first-30-minutes effect" in *returns* can be pure39   T1/T2 artifact. expE must measure the intraday profile of our bounce null40   first (taxonomy open item).412. **Auction-close convention (T4)**: close-anchored calendar effects change42   magnitude depending on which close is used — daily bars vs last 1min bar43   differ by ~8 bp even on calm days (expA).443. **Session-length changes & DST**: ET wall-clock timestamps mean DST weeks45   shift the UTC session; naive UTC grouping manufactures day-of-week46   effects.474. **Hypothesis-space explosion**: day-of-week (5) × month (12) × turn-of-X48   × holiday × intraday half-hours (13) → hundreds of implicit tests. expE's49   budget must be pre-counted and corrected (White RC / SPA — see50   multiple-testing notes).5152## 5. Implications for expE5354Pre-register a SMALL set: (i) turn-of-month (the survivor per Marquering et55al.), (ii) Monday effect (the canonical corpse — expected negative finding),56(iii) intraday momentum first→last half-hour (Gao et al., with the57gamma-hedging state split of Baltussen et al.), (iv) the intraday U-shape as58an *artifact demonstration*, not an anomaly claim. Everything else is59exploratory Level 0, reported as such.60