The HANDBOOK of TRADING：STRATEGIES FOR NAVIGATING AND PROFITING FROM CURRENCY, BOND, AND STOCK MARKETS

CONTENTS
EDITOR xvii
CONTRIBUTORS xix
ACKNOWLEDGMENTS xxxiii
PART I EXECUTION AND MOMENTUM TRADING 1
CHAPTER 1 Performance Leakage and Value
Discounts on the Toronto
Stock Exchange 3
Lawrence Kryzanowski and Skander Lazrak
Abstract 3
Introduction 4
Sample and Data 5
Measures of Performance Leakage and Value Discounts 5
Empirical Estimates for the TSX 7
Conclusion 18
Acknowledgments 18
References 19
Notes 20
CHAPTER 2 Informed Trading in Parallel
Auction and Dealer Markets:
The Case of the London
Stock Exchange 23
Pankaj K. Jain, Christine Jiang, Thomas H. McInish, and
Nareerat Taechapiroontong
Abstract 23
Introduction 23
Trading Systems and Venues 24
Institutional Background, Data, and Methodology 27
Empirical Results 30
Conclusion 35
Acknowledgments 36
References 36
Notes 38
CHAPTER 3 Momentum Trading for the
Private Investor 39
Alexander Molchanov and Philip A. Stork
Abstract 39
Introduction 39
Data 40
Momentum Trading Results 41
Robustness Tests 45
Trading with a Volume Filter 47
Private Investor Trading 49
Conclusion 50
Acknowledgments 51
References 51
Notes 52
CHAPTER 4 Trading in Turbulent Markets:
Does Momentum Work? 53
Tim A. Herberger and Daniel M. Kohlert
Abstract 53
Introduction 53
Literature Review 54
Data and Methodology 55
Results 57
Conclusion 62
References 63
Notes 65
CHAPTER 5 The Financial Futures Momentum 67
Juan Ayora and Hipòlit Torró
Abstract 67
Introduction 67
Literature Review 68
Data 69
Methodology and Results 69
Conclusion 77
Acknowledgments 79
References 79
Notes 80
CHAPTER 6 Order Placement Strategies in
Different Market Structures:
A Primer 83
Giovanni Petrella
Abstract 83
Introduction 83
Costs and Benefits of Limit Order Trading 84
Trading in a Continuous Order-Driven Market 86
Trading in a Call Auction 89
Conclusion 91
References 92
PART II TECHNICAL TRADING 95
CHAPTER 7 Profitability of Technical
Trading Rules in an Emerging
Market 97
Dimitris Kenourgios and Spyros Papathanasiou
Abstract 97
Introduction 98
Methodology 100
Data and Empirical Results 103
Conclusion 108
References 109
Notes 111
CHAPTER 8 Testing Technical Trading Rules
as Portfolio Selection Strategies 113
Vlad Pavlov and Stan Hurn
Introduction 113
Data 115
Portfolio Formation 116
Bootstrap Experiment 122
Conclusion 124
Acknowledgments 126
References 126
Notes 127
CHAPTER 9 Do Technical Trading Rules
Increase the Probability of
Winning? Empirical Evidence
from the Foreign Exchange
Market 129
Alexandre Repkine
Abstract 129
Introduction 130
Empirical Methodology 131
Empirical Results 135
Conclusion 139
References 140
CHAPTER 10 Technical Analysis in
Turbulent Financial Markets:
Does Nonlinearity Assist? 141
Mohamed El Hedi Arouri, Fredj Jawadi, and Duc Khuong Nguyen
Abstract 141
Introduction 142
Nonlinear Modeling for Technical Analysis 143
Data and Empirical Results 147
Conclusion 150
References 150
Notes 153
CHAPTER 11 Profiting from the Dual-Moving
Average Crossover with
Exponential Smoothing 155
Camillo Lento
Abstract 155
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