{"id":"https://openalex.org/W2127470911","doi":"https://doi.org/10.1007/s10614-015-9484-9","title":"Intraday Anomalies and Market Efficiency: A Trading Robot Analysis","display_name":"Intraday Anomalies and Market Efficiency: A Trading Robot Analysis","publication_year":2015,"publication_date":"2015-01-14","ids":{"openalex":"https://openalex.org/W2127470911","doi":"https://doi.org/10.1007/s10614-015-9484-9","mag":"2127470911"},"language":"en","primary_location":{"id":"doi:10.1007/s10614-015-9484-9","doi":"https://doi.org/10.1007/s10614-015-9484-9","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10614-015-9484-9","pdf_url":null,"source":{"id":"https://openalex.org/S98984247","display_name":"Computational Economics","issn_l":"0927-7099","issn":["0927-7099","1572-9974"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.1007/s10614-015-9484-9","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5064009401","display_name":"Guglielmo Maria Caporale","orcid":"https://orcid.org/0000-0002-0144-4135","observed_orcids":["https://orcid.org/0000-0002-0144-4135"]},"institutions":[{"id":"https://openalex.org/I1282776028","display_name":"German Institute for Economic Research","ror":"https://ror.org/0050vmv35","country_code":"DE","type":"nonprofit","lineage":["https://openalex.org/I1282776028","https://openalex.org/I315704651"]},{"id":"https://openalex.org/I59433898","display_name":"Brunel University of London","ror":"https://ror.org/00dn4t376","country_code":"GB","type":"education","lineage":["https://openalex.org/I124357947","https://openalex.org/I59433898"]}],"countries":["DE","GB"],"is_corresponding":true,"raw_author_name":"Guglielmo Maria Caporale","raw_affiliation_strings":["CESifo and DIW Berlin, Berlin, Germany","Department of Economics and Finance, Brunel University, London, UK","Department of Economics and Finance, Brunel University, London, UB8 3PH, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"CESifo and DIW Berlin, Berlin, Germany","institution_ids":["https://openalex.org/I1282776028"]},{"raw_affiliation_string":"Department of Economics and Finance, Brunel University, London, UK","institution_ids":["https://openalex.org/I59433898"]},{"raw_affiliation_string":"Department of Economics and Finance, Brunel University, London, UB8 3PH, UK","institution_ids":["https://openalex.org/I59433898"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5056796755","display_name":"Luis A. Gil\u2010Alana","orcid":"https://orcid.org/0000-0002-5760-3123","observed_orcids":["https://orcid.org/0000-0002-5760-3123"]},"institutions":[{"id":"https://openalex.org/I88155538","display_name":"Universidad de Navarra","ror":"https://ror.org/02rxc7m23","country_code":"ES","type":"education","lineage":["https://openalex.org/I88155538"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Luis Gil-Alana","raw_affiliation_strings":["University of Navarra, Pamplona, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Navarra, Pamplona, Spain","institution_ids":["https://openalex.org/I88155538"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5066753464","display_name":"Alex Plastun","orcid":"https://orcid.org/0000-0001-8208-7135","observed_orcids":["https://orcid.org/0000-0001-8208-7135"]},"institutions":[{"id":"https://openalex.org/I4210098901","display_name":"Ukrainian Academy of Banking of the National Bank of Ukraine","ror":"https://ror.org/00tfv9y59","country_code":"UA","type":"education","lineage":["https://openalex.org/I4210098901"]}],"countries":["UA"],"is_corresponding":false,"raw_author_name":"Alex Plastun","raw_affiliation_strings":["Ukrainian Academy of Banking, Sumy, Ukraine"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ukrainian Academy of Banking, Sumy, Ukraine","institution_ids":["https://openalex.org/I4210098901"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5020655044","display_name":"\u0406\u043d\u043d\u0430 \u041e\u043b\u0435\u043a\u0441\u0430\u043d\u0434\u0440\u0456\u0432\u043d\u0430 \u041c\u0430\u043a\u0430\u0440\u0435\u043d\u043a\u043e","orcid":"https://orcid.org/0000-0001-7326-5374","observed_orcids":["https://orcid.org/0000-0001-7326-5374"]},"institutions":[{"id":"https://openalex.org/I4210098901","display_name":"Ukrainian Academy of Banking of the National Bank of Ukraine","ror":"https://ror.org/00tfv9y59","country_code":"UA","type":"education","lineage":["https://openalex.org/I4210098901"]}],"countries":["UA"],"is_corresponding":false,"raw_author_name":"Inna Makarenko","raw_affiliation_strings":["Ukrainian Academy of Banking, Sumy, Ukraine"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ukrainian Academy of Banking, Sumy, Ukraine","institution_ids":["https://openalex.org/I4210098901"]}]}],"institutions":[],"countries_distinct_count":4,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5064009401"],"corresponding_institution_ids":["https://openalex.org/I1282776028","https://openalex.org/I59433898"],"apc_list":{"value":3290,"currency":"USD","value_usd":3290},"apc_paid":{"value":3290,"currency":"USD","value_usd":3290},"fwci":1.2763,"has_fulltext":true,"cited_by_count":23,"citation_normalized_percentile":{"value":0.85765553,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"47","issue":"2","first_page":"275","last_page":"295"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/time-of-day-effects","display_name":"time of day effects","score":0.7730000019073486},{"id":"https://openalex.org/keywords/efficient-market-hypothesis","display_name":"efficient market hypothesis","score":0.925000011920929},{"id":"https://openalex.org/keywords/transaction-costs","display_name":"transaction costs","score":0.824999988079071},{"id":"https://openalex.org/keywords/trading-bots","display_name":"trading bots","score":0.5519999861717224},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"algorithmic trading","score":0.6269999742507935},{"id":"https://openalex.org/keywords/spreads","display_name":"spreads","score":0.421999990940094},{"id":"https://openalex.org/keywords/abnormal-returns","display_name":"abnormal returns","score":0.5230000019073486},{"id":"https://openalex.org/keywords/financial-crises","display_name":"financial crisis","score":0.6209999918937683},{"id":"https://openalex.org/keywords/market-efficiency","display_name":"market efficiency","score":0.4050000011920929}],"concepts":[{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.6205733418464661},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5620229840278625},{"id":"https://openalex.org/C29368100","wikidata":"https://www.wikidata.org/wiki/Q724931","display_name":"Efficient-market hypothesis","level":4,"score":0.532788097858429},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.5305383801460266},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.513885498046875},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.5135722160339355},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.49806952476501465},{"id":"https://openalex.org/C182365436","wikidata":"https://www.wikidata.org/wiki/Q50701","display_name":"Variable (mathematics)","level":2,"score":0.4432862102985382},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.43196067214012146},{"id":"https://openalex.org/C2985330422","wikidata":"https://www.wikidata.org/wiki/Q724931","display_name":"Market efficiency","level":2,"score":0.4315032362937927},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4291931390762329},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.40334558486938477},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.16473877429962158},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.16465595364570618},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.06252726912498474},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0}],"mesh":[],"locations_count":10,"locations":[{"id":"doi:10.1007/s10614-015-9484-9","doi":"https://doi.org/10.1007/s10614-015-9484-9","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10614-015-9484-9","pdf_url":null,"source":{"id":"https://openalex.org/S98984247","display_name":"Computational Economics","issn_l":"0927-7099","issn":["0927-7099","1572-9974"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:ces:ceswps:_4752","doi":null,"is_oa":false,"landing_page_url":"https://www.ifo.de/DocDL/cesifo1_wp4752.pdf","pdf_url":"https://www.ifo.de/DocDL/cesifo1_wp4752.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:diw:diwwpp:dp1377","doi":null,"is_oa":false,"landing_page_url":"https://www.diw.de/documents/publikationen/73/diw_01.c.461601.de/dp1377.pdf","pdf_url":"https://www.diw.de/documents/publikationen/73/diw_01.c.461601.de/dp1377.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:kap:compec:v:47:y:2016:i:2:d:10.1007_s10614-015-9484-9","doi":null,"is_oa":true,"landing_page_url":"http://link.springer.com/10.1007/s10614-015-9484-9","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10614-015-9484-9.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"},{"id":"pmh:oai:repository.londonmet.ac.uk:377","doi":null,"is_oa":true,"landing_page_url":"https://repository.londonmet.ac.uk/377/1/CentreForInternationalCapitalMarketsDiscussionPapers_2014-09_p01-22.pdf","pdf_url":"https://repository.londonmet.ac.uk/377/1/CentreForInternationalCapitalMarketsDiscussionPapers_2014-09_p01-22.pdf","source":{"id":"https://openalex.org/S4306400140","display_name":"London Met Repository (London Metropolitan University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I126193024","host_organization_name":"London Metropolitan University","host_organization_lineage":["https://openalex.org/I126193024"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"pmh:oai:RePEc:kap:compec:v:47:y:2016:i:2:p:275-295","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10.1007/s10614-015-9484-9","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:aleph.bib-bvb.de:BVB01-027475854","doi":null,"is_oa":false,"landing_page_url":"http://www.cesifo-group.de/de/ifoHome/search/result.html?main.query=4752","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"pmh:oai:bura.brunel.ac.uk:2438/9698","doi":null,"is_oa":false,"landing_page_url":"http://bura.brunel.ac.uk/handle/2438/9698","pdf_url":null,"source":{"id":"https://openalex.org/S4306401473","display_name":"Brunel University Research Archive (BURA) (Brunel University London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I59433898","host_organization_name":"Brunel University of London","host_organization_lineage":["https://openalex.org/I59433898"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"},{"id":"pmh:oai:econstor.eu:10419/96448","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10419/96448","pdf_url":null,"source":{"id":"https://openalex.org/S4306401696","display_name":"Econstor (Econstor)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"doc-type:workingPaper"},{"id":"pmh:oai:econstor.eu:10419/96859","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10419/96859","pdf_url":null,"source":{"id":"https://openalex.org/S4306401696","display_name":"Econstor (Econstor)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"doc-type:workingPaper"}],"best_oa_location":{"id":"doi:10.1007/s10614-015-9484-9","doi":"https://doi.org/10.1007/s10614-015-9484-9","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10614-015-9484-9","pdf_url":null,"source":{"id":"https://openalex.org/S98984247","display_name":"Computational Economics","issn_l":"0927-7099","issn":["0927-7099","1572-9974"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-class-a","anvur-scientific","cwts-core","dongbi-d","jufo-1","norway-1","poland-40","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Economics","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":45,"referenced_works":["https://openalex.org/W66483636","https://openalex.org/W158950531","https://openalex.org/W302127077","https://openalex.org/W629381471","https://openalex.org/W1499550068","https://openalex.org/W1596495111","https://openalex.org/W1603359469","https://openalex.org/W1605711810","https://openalex.org/W1607445173","https://openalex.org/W1895831987","https://openalex.org/W1971432209","https://openalex.org/W1973572831","https://openalex.org/W2000083566","https://openalex.org/W2024254877","https://openalex.org/W2029056003","https://openalex.org/W2030548181","https://openalex.org/W2076209196","https://openalex.org/W2083148578","https://openalex.org/W2090637028","https://openalex.org/W2131773668","https://openalex.org/W2148517125","https://openalex.org/W2153271406","https://openalex.org/W2157495061","https://openalex.org/W2160915940","https://openalex.org/W2162940412","https://openalex.org/W2163065315","https://openalex.org/W2169658285","https://openalex.org/W2355180450","https://openalex.org/W2752600643","https://openalex.org/W2753533763","https://openalex.org/W2798512954","https://openalex.org/W3122205006","https://openalex.org/W3122597312","https://openalex.org/W3123672114","https://openalex.org/W3125189963","https://openalex.org/W3125246470","https://openalex.org/W3138749151","https://openalex.org/W3147320061","https://openalex.org/W4231546411","https://openalex.org/W4233594550","https://openalex.org/W4239488419","https://openalex.org/W4256031309","https://openalex.org/W4298197486","https://openalex.org/W6619981246","https://openalex.org/W6822468148"],"related_works":["https://openalex.org/W2788940166","https://openalex.org/W2606833202","https://openalex.org/W7044154031","https://openalex.org/W2591711240","https://openalex.org/W2098630070","https://openalex.org/W1577355840","https://openalex.org/W3122943125","https://openalex.org/W4229771408","https://openalex.org/W2726212890","https://openalex.org/W1540060025"],"abstract_inverted_index":{"One":[0],"of":[1,5,13,19,22,68,82],"the":[2,6,11,69,80,85],"leading":[3],"criticisms":[4],"efficient":[7],"market":[8,29],"hypothesis":[9],"is":[10,26,87],"presence":[12],"so-called":[14],"\u201canomalies\u201d,":[15],"i.e.":[16],"empirical":[17],"evidence":[18],"abnormal":[20,54],"behaviour":[21],"asset":[23],"prices":[24],"which":[25,93],"inconsistent":[27],"with":[28],"efficiency.":[30],"However,":[31],"most":[32],"studies":[33],"do":[34,114],"not":[35,49,61,115],"take":[36],"into":[37],"account":[38],"transaction":[39,100],"costs.":[40],"Their":[41],"existence":[42],"implies":[43],"that":[44,106],"in":[45],"fact":[46],"traders":[47],"might":[48],"be":[50],"able":[51],"to":[52,74],"make":[53],"profits.":[55,118],"This":[56],"paper":[57],"examines":[58],"whether":[59],"or":[60,66],"anomalies":[62],"such":[63],"as":[64],"intraday":[65],"time":[67],"day":[70],"effects":[71],"give":[72],"rise":[73],"exploitable":[75],"profit":[76],"opportunities":[77],"by":[78],"replicating":[79],"actions":[81],"traders.":[83],"Specifically,":[84],"analysis":[86],"based":[88],"on":[89],"a":[90],"trading":[91,107],"robot":[92],"simulates":[94],"their":[95],"behaviour,":[96],"and":[97],"incorporates":[98],"variable":[99],"costs":[101],"(spreads).":[102],"The":[103],"results":[104],"suggest":[105],"strategies":[108],"aimed":[109],"at":[110],"exploiting":[111],"daily":[112],"patterns":[113],"generate":[116],"extra":[117],"Further,":[119],"there":[120],"are":[121],"no":[122],"significant":[123],"differences":[124],"between":[125],"sub-periods":[126],"(2005\u20132006\u2014\u201cnormal\u201d;":[127],"2007\u20132009\u2014\u201ccrisis\u201d;":[128],"2010\u20132011\u2014\u201cpost-crisis).":[129]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":5},{"year":2017,"cited_by_count":2}],"updated_date":"2026-10-27T15:51:10.671819","created_date":"2016-06-24T00:00:00"}
