The weekend effect: a trading robot and fractional integration analysis
This paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by replica...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Centre for International Capital Markets, London Metropolitan University
2014
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| Online Access: | https://repository.londonmet.ac.uk/372/1/CentreForInternationalCapitalMarketsDiscussionPapers_2014-06_p01-20.pdf |
| _version_ | 1804071515125186560 |
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| author | Caporale, Guglielmo Maria Gil-Alana, Luis A. Plastun, Alex Makarenko, Inna |
| author_facet | Caporale, Guglielmo Maria Gil-Alana, Luis A. Plastun, Alex Makarenko, Inna |
| author_sort | Caporale, Guglielmo Maria |
| collection | LMU |
| description | This paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by replicating the actions of traders; (ii) a fractional integration technique for the estimation of the (fractional) integration parameter d. The results suggest that trading strategies aimed at exploiting the weekend effect can generate extra profits but only in a minority of cases in the gold and stock markets, whist they appear to be profitable in most cases in the FOREX. Further, the lowest orders of integration are generally found on Mondays, which can be seen as additional evidence for a weekend effect. |
| first_indexed | 2024-07-09T03:44:28Z |
| format | Article |
| id | oai:repository.londonmet.ac.uk:372 |
| institution | London Metropolitan University |
| language | English |
| last_indexed | 2024-07-09T03:44:28Z |
| publishDate | 2014 |
| publisher | Centre for International Capital Markets, London Metropolitan University |
| record_format | eprints |
| spelling | oai:repository.londonmet.ac.uk:3722020-04-28T14:53:27Z http://repository.londonmet.ac.uk/372/ The weekend effect: a trading robot and fractional integration analysis Caporale, Guglielmo Maria Gil-Alana, Luis A. Plastun, Alex Makarenko, Inna 330 Economics This paper provides some new empirical evidence on the weekend effect, one of the most recognized anomalies in financial markets. Two different methods are used: (i) a trading robot approach to examine whether or not there is such an anomaly giving rise to exploitable profit opportunities by replicating the actions of traders; (ii) a fractional integration technique for the estimation of the (fractional) integration parameter d. The results suggest that trading strategies aimed at exploiting the weekend effect can generate extra profits but only in a minority of cases in the gold and stock markets, whist they appear to be profitable in most cases in the FOREX. Further, the lowest orders of integration are generally found on Mondays, which can be seen as additional evidence for a weekend effect. Centre for International Capital Markets, London Metropolitan University 2014-06-19 Article PeerReviewed text en https://repository.londonmet.ac.uk/372/1/CentreForInternationalCapitalMarketsDiscussionPapers_2014-06_p01-20.pdf Caporale, Guglielmo Maria, Gil-Alana, Luis A., Plastun, Alex and Makarenko, Inna (2014) The weekend effect: a trading robot and fractional integration analysis. Centre for International Capital Markets discussion papers, 2014 (06). pp. 1-20. ISSN 1749-3412 http://www.londonmet.ac.uk/media/london-metropolitan-university/london-met-documents/faculties/guildhall-faculty-of-business-and-law/cicm/working-papers/CIMC-DP-2014_6.pdf 10.2139/ssrn.2456123 |
| spellingShingle | 330 Economics Caporale, Guglielmo Maria Gil-Alana, Luis A. Plastun, Alex Makarenko, Inna The weekend effect: a trading robot and fractional integration analysis |
| title | The weekend effect: a trading robot and fractional integration analysis |
| title_full | The weekend effect: a trading robot and fractional integration analysis |
| title_fullStr | The weekend effect: a trading robot and fractional integration analysis |
| title_full_unstemmed | The weekend effect: a trading robot and fractional integration analysis |
| title_short | The weekend effect: a trading robot and fractional integration analysis |
| title_sort | weekend effect a trading robot and fractional integration analysis |
| topic | 330 Economics |
| url | https://repository.londonmet.ac.uk/372/1/CentreForInternationalCapitalMarketsDiscussionPapers_2014-06_p01-20.pdf |
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