Effectiveness of filter trading as an intraday trading rule

doi:10.1108/SEF-09-2018-0294

科研成果详情

题名	Effectiveness of filter trading as an intraday trading rule
作者	Xin，Ling 1; Lam，Kin 2; Yu，Philip L.H.3
发表日期	2019
发表期刊	Studies in Economics and Finance
ISSN/eISSN	1086-7376
卷号	38 期号:3 页码:659-674
摘要	Purpose: Filter trading is a technical trading rule that has been used extensively to test the efficient market hypothesis in the context of long-term trading. In this paper, the authors adopt the rule to analyze intraday trading, in which an open position is not left overnight. This paper aims to explore the relationship between intraday filter trading profitability and intraday realized volatilities. The bivariate thin plate spline (TPS) model is chosen to fit the predictor-response surface for high frequency data from the Hang Seng index futures (HSIF) market. The hypotheses follow the adaptive market hypothesis, arguing that intraday filter trading differs in profitability under different market conditions as measured by realized volatility, and furthermore, the optimal filter size for trading on each day is related to the realized volatility. The empirical results furnish new evidence that range-based realized volatilities (RaV) are more efficient in identifying trading profit than return-based volatilities (ReV). These results shed light on the efficiency of intraday high frequency trading in the HSIF market. Some trading suggestions are given based on the findings. Design/methodology/approach: Among all the factors that affect the profit of filter trading, intraday realized volatility stands out as an important predictor. The authors explore several intraday volatilities measures using range-based or return-based methods of estimation. The authors then study how the filter trading profit will depend on realized volatility and how the optimal filter size is related to the realized volatility. The bivariate TPS model is used to model the predictor-response relationship. Findings: The empirical results show that range-based realized volatility has a higher predictive power on filter rule trading profit than the return-based realized volatility. Originality/value: First, the authors contribute to the literature by investigating the profitability of the filter trading rule on high frequency tick-by-tick data of HSIF market. Second, the authors test the assumption that the magnitude of the intraday momentum trading profit depends on the realized volatilities and aims to identify a relationship between them. Furthermore, the authors consider several intraday realized volatilities and find the RaV have the higher prediction power than ReV. Finally, the authors find some relationship between the optimal filter size and the realized volatilities. Based on the observations, the authors also give some trading suggestions to the intraday filter traders.
关键词	Filter rule Financial markets Intraday trading Measurements Range volatility Realized volatility Spline smoothing
DOI	10.1108/SEF-09-2018-0294
URL	查看来源
语种	英语English
Scopus入藏号	2-s2.0-85072110223
引用统计	被引频次：5[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/6263
专题	北师香港浸会大学
通讯作者	Xin，Ling
作者单位	1.Division of Business and Management,BNU-HKBU United International College,Zhuhai,China 2.Department of Finance and Decision Science,Hong Kong Baptist University,Hong Kong 3.Department of Statistics and Actuarial Science,The University of Hong Kong,Hong Kong
第一作者单位	北师香港浸会大学
通讯作者单位	北师香港浸会大学
推荐引用方式 GB/T 7714	Xin，Ling,Lam，Kin,Yu，Philip L.H. Effectiveness of filter trading as an intraday trading rule[J]. Studies in Economics and Finance, 2019, 38(3): 659-674.
APA	Xin，Ling, Lam，Kin, & Yu，Philip L.H. (2019). Effectiveness of filter trading as an intraday trading rule. Studies in Economics and Finance, 38(3), 659-674.
MLA	Xin，Ling,et al."Effectiveness of filter trading as an intraday trading rule". Studies in Economics and Finance 38.3(2019): 659-674.