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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