Monolith Research
In plain terms
When a market gaps or jumps sharply, does it keep going or snap back? This tests the behaviour around those moves.
How it works
Sudden moves are detected intraday, and the reaction and any continuation are measured and traded, with a placebo to guard against reading randomness.
What it’s tested against
Out-of-sample with a placebo on scrambled events; the sign of the effect is checked, because a jump can mean-revert as readily as continue.
Data
Intraday price history.
Researched — a careful look at post-jump behaviour.