Table 4 Results for the ANOVA model (1)
From: Profitability of technical trading strategies under market manipulation
| Â | Coefficient estimate |
|---|---|
Baseline | \(4.946672\mathrm{e}^{-04}\) |
With Closing Auction Session | \(-6.292007\mathrm{e}^{-05}\) |
Last price | \(3.059300\mathrm{e}^{-05}\) |
Lunch gap of 1.5Â h | \(-\,5.073916\mathrm{e}^{-04}\) |
Lunch gap of 1Â h | \(-5.484064\mathrm{e}^{-04}\) |
February | \(-\,3.221425\mathrm{e}^{-04}\) |
March | \(-\,5.466455\mathrm{e}^{-05}\) |
April | \(7.037117\mathrm{e}^{-05}\) |
May | \(-\,1.671546\mathrm{e}^{-04}\) |
June | \(-\,3.076000\mathrm{e}^{-04}\) |
July | \(-\,7.139136\mathrm{e}^{-05}\) |
August | \(2.225742\mathrm{e}^{-04}\) |
September | \(-\,4.773866\mathrm{e}^{-05}\) |
October | \(-\,4.669616\mathrm{e}^{-04}\) |
November | \(-\,4.488223\mathrm{e}^{-04}\) |
December | \(-\,6.344385\mathrm{e}^{-05}\) |
2012 | \(1.231936\mathrm{e}^{-04}\) |
2013 | \(2.232818\mathrm{e}^{-04}\) |
2014 | \(6.404570\mathrm{e}^{-05}\) |
2015 | \(2.850625\mathrm{e}^{-04}\) |
2016 | \(8.499750\mathrm{e}^{-05}\) |
2017 | \(2.674325\mathrm{e}^{-04}\) |
2018 | \(1.191710\mathrm{e}^{-04}\) |