Economics at your fingertips  

Technical Trading Behaviour: Evidence from Chinese Rebar Futures Market

Guanqing Liu ()
Additional contact information
Guanqing Liu: University of Leicester

Computational Economics, 2019, vol. 54, issue 2, 669-704

Abstract: Abstract 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.

Keywords: Rebar futures market; Technical trading; K-Means clustering (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-11-06
Handle: RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9851-4