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 |
| Published: |
Centre for International Capital Markets, London Metropolitan University
2014
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| Subjects: | |
| Online Access: | https://repository.londonmet.ac.uk/372/1/CentreForInternationalCapitalMarketsDiscussionPapers_2014-06_p01-20.pdf |