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Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market

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journal contribution
posted on 08.10.2018, 16:03 by Guanqing Liu
Technical Traders adopt mathematical methods to formulate various technical trading rules on their trading strategies. This paper utilises two unique datasets—individual and market tick-by-tick data—to disclose the categories and characteristics of technical traders’ strategies in Chinese rebar futures market. Firstly, we use a simple multiple regression model to filter technical traders in individual dataset. By using market dataset to generate dummy signals according to six popular kinds of technical rules, we created dummy trading directions as benchmark for real trading actions. Based on the similarity between dummy signals with different technical rules and traders’ real actions, we employ k-means algorithm to classify technical traders. Through these empirical works, technical traders in my dataset are classified into 11 groups. Finally, on the basis of 11 clusters’ coordinates, the features of technical strategies in each group are summarised.

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Citation

Computational Economics, 2018

Version

VoR (Version of Record)

Published in

Computational Economics

Publisher

Springer Verlag (Germany) for Society for Computational Economics

issn

0927-7099

eissn

1572-9974

Acceptance date

01/09/2018

Copyright date

2018

Available date

08/10/2018

Publisher version

https://link.springer.com/article/10.1007/s10614-018-9851-4

Language

en

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