Conceptual Framework for Pattern-Based Real-Time Trading System using Genetic Algorithm

• 영문명: 유전알고리즘 활용한 실시간 패턴 트레이딩 시스템 프레임워크
• 발행기관: 한국산업경영시스템학회
• 저자명: 이석준(Suk-Jun Lee) 정석재(Suk-Jae Jeong)
• 간행물 정보: 『산업경영시스템학회지』제36권 제4호, 123~129쪽, 전체 6쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2013.12.31

영문 초록

The aim of this study is to design an intelligent pattern-based real-time trading system (PRTS) using rough set analysis of technical indicators, dynamic time warping (DTW), and genetic algorithm in stock futures market. Rough set is well known as a data-mining tool for extracting trading rules from huge data sets such as real-time data sets, and a technical indicator is used for the construction of the data sets. To measure similarity of patterns, DTW is used over a given period. Through an empirical study, we identify the ideal performances that were profitable in various market conditions.

목차

Abstract

1. Introduction

2. Material and Methods

3. Experiments and Results

4. Conclusions

References

키워드

Stock Futures Market Pattern-Based Rough Set Analysis Dynamic Time Warping Genetic Algorithm