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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2021) 38 (3): 659–674.
Published: 24 August 2019
...) 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...
