Table 2.

List of the variables we considered for the empirical analysis.

Variable	Description
Close	Closing price of the stock at the end of day
Closed	Difference in the stock price compared to the previous close
Closep	Percentage change in the stock price compared to the previous close
Ope	Opening price of the stock
Oped	Difference in the stock price compared to the previous opening
opep	Percentage change in the stock price compared to the previous opening
high	Highest price reached by the stock on the trading day
highd	Difference in the highest price reached by the stock compared to the previous day
highp	Percentage change in the highest price achieved by the stock compared to the previous day
low	Lowest price reached by the stock on the trading day
lowd	Difference in the lowest price reached by the stock compared to the previous day
lowp	Percentage change in the lowest price reached by the stock compared to the previous day
SMA5	Simple Moving Average of the closing price calculated at 5 days
SMA10	Simple Moving Average of the closing price calculated at 10 days
EMA12	Exponential Moving Average of the closing price calculated at 12 days
EMA26	Exponential Moving Average of the closing price calculated at 26 days
MACD	Moving Average Convergence/Divergence. It is a technical indicator to reveal changes in the strength, direction, momentum, and duration of a trend. It is calculated as the difference between the EMA26 and EMA12
MACDsign	The exceeding of MACD values on MACDsign and vice versa are useful signals to identify possible trend reversals in prices. It is calculated as a 9-period exponential moving average of the MACD line
volume	Number of shares traded on the day
volumed	Difference in the number of traded shares compared to the previous day
volume	Percentage change in the number of traded shares compared to the previous day
RoC13	Rate of Change. The ROC calculates the ratio of today's closing price to the closing price of (in our case) 13 previous days
K15	Stochastic Oscillator. The Stochastic Oscillator compares the closing price of the stock with the range of prices in the considered time period (15 days, in our case)
D5	Simple Moving Average of the values of the variable K15 calculated at 5 days
SMA20C	Simple Moving Average of the closing price calculated at 20 days
BOLlow	Bottom line of the Bollinger Bands
BOLup	Upper line of the Bollinger Bands
BOL	Percentage BOL, a volatility index of the stock. It is constructed as the ratio between the difference of close and BOLlow with the difference between BOLup and BOLlow
MOM12	Momentum, an indicator that measures the change in closing prices. Unlike the ROC, the momentum is calculated as the difference between today's closing price and the closing price of the previous period (12 days, in our case)