Profitability of technical trading strategies under market manipulation-Reference-Cited by-同舟云学术

Profitability of technical trading strategies under market manipulation

Published:2022-01-05 Issue:1 Volume:8 Page:
ISSN:2199-4730
Container-title:Financial Innovation
language:en
Short-container-title:Financ Innov

Author:

Ma Alfred^ORCID

Abstract

AbstractMost technical trading strategies use the official closing price for analysis. But what is the effect when the official closing price is subject to market manipulation? This paper answers this question by testing the difference of profitabilities between using the official closing price and the last tick price. The results show a significant improvement of profitability by using the last tick price over the official closing price based on a data set in Hong Kong from 2011 to 2018.

Publisher

Springer Science and Business Media LLC

Subject

Management of Technology and Innovation,Finance

Link

https://link.springer.com/content/pdf/10.1186/s40854-021-00304-7.pdf

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