Profitability of technical trading strategies under market manipulation

Alfred Ma ()
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Alfred Ma: City University of Hong Kong

Financial Innovation, 2022, vol. 8, issue 1, 1-9

Abstract: Abstract Most technical trading strategies use the official closing price for analysis. But what is the effect when the official closing price is subject to market manipulation? This paper answers this question by testing the difference of profitabilities between using the official closing price and the last tick price. The results show a significant improvement of profitability by using the last tick price over the official closing price based on a data set in Hong Kong from 2011 to 2018.

Date: 2022
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DOI: 10.1186/s40854-021-00304-7

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