Candlestick—The Main Mistake of Economy Research in High Frequency Markets

Michał Dominik Stasiak
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Michał Dominik Stasiak: Department of Investment and Real Estate, Poznan University of Economics and Business, al. Niepodleglosci 10, 61-875 Poznan, Poland

IJFS, 2020, vol. 8, issue 4, 1-15

Abstract: One of the key problems of researching the high-frequency financial markets is the proper data format. Application of the candlestick representation (or its derivatives such as daily prices, etc.), which is vastly used in economic research, can lead to faulty research results. Yet, this fact is consistently ignored in most economic studies. The following article gives examples of possible consequences of using candlestick representation in modelling and statistical analysis of the financial markets. Emphasis should be placed on the problem of research results being detached from the investing practice, which makes most of the results inapplicable from the investor’s point of view. The article also presents the concept of a binary-temporal representation, which is an alternative to the candlestick representation. Using binary-temporal representation allows for more precise and credible research and for the results to be applied in investment practice.

Keywords: high frequency econometric; technical analysis; investment decision support; candlestick representation; binary-temporal representation (search for similar items in EconPapers)
JEL-codes: F2 F3 F41 F42 G1 G2 G3 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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