payment cycle reversal
What it checks
Graziani (2024): recurring payment-cycle flows (401k contributions, fund distributions/reinvestments, index cash deployment) cluster around month-end/turn-of-month, creating non-fundamental price pressure that reverses once inelastic flow a
Mechanism
Graziani (2024): recurring payment-cycle flows (401k contributions, fund distributions/reinvestments, index cash deployment) cluster around month-end/turn-of-month, creating non-fundamental price pressure that reverses once inelastic flow abates. Implementable per-ticker signal: measure the return accrued in the turn-of-month window (last ~3 / first ~3 trading days), fade it over the next week, si
Signal rule
Graziani (2024): recurring payment-cycle flows (401k contributions, fund distributions/reinvestments, index cash deployment) cluster around month-end/turn-of-month, creating non-fundamental price pressure that reverses o
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper window
- Modern daily equity data
friction premium; decay risk 3/5.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
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