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In market microstructure/high frequency finance, it is well known that the trading day has high activity in the opening hours and closing hours compared to mid-day. Can the same be said about the trading week, in that markets on Mondays and Fridays are more active than Wednesday as people open/close their positions at the start and end of the week?

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    $\begingroup$ Could you please start accepting answers to your questions? $\endgroup$ – Bob Jansen Jun 24 at 8:11
  • $\begingroup$ Why don't you get some data and test it? $\endgroup$ – chrisaycock Jun 24 at 8:11
  • $\begingroup$ the trading day having high activity in the opening and closing hours compared to mid-day has become a stylized fact observed in hundreds of assets. I just want to see if the trading week also reflects as a stylized fact in the low-frequency theory $\endgroup$ – develarist Jun 24 at 8:35
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It looks like there is no impact on the volume of transactions depending on the day of the week if we refer to this chart: https://www.quora.com/What-is-the-average-total-number-of-trades-daily-on-NASDAQ#:~:text=What%20is%20the%20average%20total%20number%20of%20trades%20daily%20on%20NASDAQ%3F,-ad%20b&text=http%3A%2F%2Fwww.nasdaqtrader.com,daily%2C%20around%2010%20million%20trades.

(the direct link to the graph is this one: https://qph.fs.quoracdn.net/main-qimg-63dde1404e9a8ed991586ec1679068d3)

The only "race" that exists is at the end of the year, and it lasts for the last days/weeks of the year.

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  • $\begingroup$ I don't see chart from your link $\endgroup$ – user89135 Jun 24 at 20:15
  • $\begingroup$ you should expand the first "continue reading" button. But anyway, I added the image directly in the answer. $\endgroup$ – Stephane Jun 25 at 0:43

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