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Table 4 Results for the ANOVA model (1)

From: Profitability of technical trading strategies under market manipulation

  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 1.5 h \(-\,5.073916\mathrm{e}^{-04}\)
Lunch gap of 1 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 \(1.191710\mathrm{e}^{-04}\)
  1. Baseline refers to the estimates for \(i=k=j=l=m=n=h=1\). The coefficients for stocks and strategies are excluded