Analyzing intraday time series in various markets is a familiar strategy, and has usually been applied to markets which have liquidity 24 hours of the day, such as FX. A good recent example was Deutsche’s report on “How To Make Money Trading FX? Just Wake Up At 3AM.” And while such regional time-series comps have been mostly conducted with currencies, over the weekend Morgan Stanley’s Matthew Hornbach did a similar analysis with rates.
What he found was startling.