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Table 2 Blocking factors for ANOVA model (1)

From: Profitability of technical trading strategies under market manipulation

Variable Description
LUNCH Three types of lunch gaps: 2 h, 1.5 h, and 1 h
CLOSING Two types without or with Closing Auction Session
MONTH Calendar month effects
YEAR Calendar year effects
STRATEGY Five classes of strategies with different parameters totaling 75 distinct strategies described in “ Appendix
STOCK Thirty seven stocks as listed in Table 1