Research preview

The Mid‑Autumn Festival is a major cultural holiday in China, marked by family reunions and a surge in consumer activity. For quantitative traders, the holiday creates predictable shifts in liquidity, volatility, and order flow that can be incorporated into corporate risk‑management frameworks. This article connects the festival’s market dynamics with practical position‑sizing techniques drawn from advanced corporate risk management principles. Seasonal Liquidity Shifts During the festival week, a large share of the population travels or takes time off, leading many institutional and retail participants to reduce trading activity. Order books thin out, bid‑ask spreads widen, and the market’s ability to absorb large orders diminishes....