Does high frequency trading affect technical analysis and market efficiency? And if so, how?

Manahov, Viktor; Hudson, Robert; Gębka, Bartosz

doi:10.1016/j.intfin.2013.11.002

Cited by 45 publications

(22 citation statements)

References 62 publications

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“…An important avenue for future research is to consider how one might seek to optimise the vast number of potential combinations of trading rules whilst guarding against the pitfalls of data mining. There are a least two broad potential approaches: create a large number of rules and systematically investigate the effects of combining them (White, 2000), or, alternatively, use an approach that can generate new rules by combining existing rules, which is a process fairly similar to that used in Intelligent Agent Modelling (see, for example, Manahov et al, 2014).…”

Section: Resultsmentioning

confidence: 99%

The benefits of combining seasonal anomalies and technical trading rules

Gębka

Hudson

Atanasova

2015

Finance Research Letters

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a b s t r a c tAlthough many seasonal anomalies and technical trading rules have been shown to have predictive ability, investigations have focused only on them operating individually. We study the benefits of trading based on combinations of three of the best known effects: the moving average rule, the turn of the month effect, and the Halloween effect. We show that the rules can be combined effectively, giving significant levels of returns predictability with low risk and offering the possibility of profitable trading. This new investment approach is especially beneficial for a typical individual investor, who faces high transaction costs and is poorly diversified.

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Section: Resultsmentioning

confidence: 99%

The benefits of combining seasonal anomalies and technical trading rules

Gębka

Hudson

Atanasova

2015

Finance Research Letters

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“…The computer trades are more highly correlated with each other than human trades, indicating that strategies generated by machines are not as diverse as those developed by humans. There is also a possibility of an unproductive arms race developing with HFT institutions competing to be fastest (Manahov, Hudson, Gebka, 2014). According to V. Dragota and E. V. Tilica (2014), in the current investment environment, testing the market efficiency is still important.…”

Section: The Principles Of Investments Portfolio Management Considerimentioning

confidence: 99%

Equity Investments Portfolio Risk in Different Stages of Business Cycle

Mileris

2014

Science and Studies of Accounting and Finance: Problems and Perspectives

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This paper analyzes the stock market dynamics in current business cycle of Lithuania. The research has affirmed that macroeconomic environment has the very strong impact on the share prices of Lithuanian listed companies. The early warning patterns of possible sudden OMXV index decrease were suggested analyzing the changes of companies financial condition and the relative stock market and macroeconomic indicators. The factorial regression model was developed for the support of investments decision making.

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“…Cai & Zhang (2016) stress that "…most of previous literature on intra-day exchange rate forecasting has focused on regular time intervals such as 30 minutes or one hour." Studies show that the excess returns are both statistically and economically significant in forecasting FX rates at the one-minute frequency (Manahov et al, 2014).Taking into account the discussion in the literature, we develop a code that captures high frequency oneminute interval FX price data as well as technical analysis indicators from the popular Metatrader FX trading platform. We do not incorporate macroeconomic fundamental data due to its low frequency.…”

Section: Introductionmentioning

confidence: 99%