Skip to main content

Table 3 ANOVA of wealth growth rates and wealth growth rate volatility

From: Cost-benefit analysis of trading strategies in the stock index futures market

Types

Source of variation

Sum of squares of deviations

Degree of freedom

Mean square error

F value

P value

ANOVA of wealth growth rates

 Informed trader-Technical trader

Difference between groups

2.89E-09

1

2.89E-09

3.21

0.081*

Difference in the group

3.60E-08

40

8.99E-10

  

Total square deviation

3.88E-08

41

   

 Technical trader-Noise trader

Difference between groups

3.72E-09

1

3.72E-09

2.74

0.106

Difference in the group

5.43E-08

40

1.36E-09

  

Total square deviation

5.80E-08

41

   

 Noise trader-Arbitrage trader

Difference between groups

2.80E-09

1

2.80E-09

3.25

0.079*

Difference in the group

3.45E-08

40

8.62E-10

  

Total square deviation

3.73E-08

41

   

 Between the four types of trading strategies

Difference between groups

1.32E-08

3

4.41E-09

5.01

0.003***

Difference in the group

7.04E-08

80

8.80E-10

  

Total square deviation

8.37E-08

83

   

ANOVA of wealth growth rate volatility

 Informed trader-Technical trader

Difference between groups

1.13E-05

1

1.13E-05

56.69

3.47E-09***

Difference in the group

7.95E-06

40

1.99E-07

  

Total square deviation

1.92E-05

41

   

 Technical trader-Noise trader

Difference between groups

1.43E-05

1

1.43E-05

83.24

2.54E-11***

Difference in the group

6.88E-06

40

1.72E-07

  

Total square deviation

2.12E-05

41

   

 Noise trader-Arbitrage trader

Difference between groups

4.66E-07

1

4.66E-07

14.43

5.00E-04***

Difference in the group

1.29E-06

40

3.22E-08

  

Total square deviation

1.76E-06

41

   

 Between the four types of trading strategies

Difference between groups

1.80E-05

3

5.99E-06

51.85

0.0000***

Difference in the group

9.24E-06

80

1.15E-07

  

Total square deviation

2.72E-05

83

   
  1. ∗, ∗∗, and ∗∗∗ indicate significance at the 0.10, 0.05, and 0.01 levels, respectively