The information content of high, low and close prices

  • Hongbing Ouyang
  • Published 2011 in
    2011 2nd International Conference on Artificial…

Abstract

This paper attempts to reveal the predictability of candlestick analysis to future price and volatility. We find that high and low price series are more sensitive to price volatility than close prices. Difference of high and low price series is more effective to forecast volatility. More importantly, we find that there exists cointegration relationship… (More)

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