TY - GEN
T1 - Using rough set to support investment strategies of rule-based trading with real-time data in futures market
AU - Lee, Suk Jun
AU - Ahn, Jae Joon
AU - Oh, Kyong Joo
AU - Kim, Tae Yoon
AU - Lee, Hyoung Yong
AU - Song, Chi Woo
PY - 2009
Y1 - 2009
N2 - Investment strategies in stock market have gained unprecedented popularity in major financial markets around the world. However, it is a very difficult problem because of the fluctuation of the stock market. This study presents usefulness of rough set on the rule base to develop real-time investment strategies using technical analysis in futures market. This study consists of four phases. In the first phase, meaningful technical indicators are selected to reflect market movements. In the second phase, rough set is used to extract trading rules for identification of buy and sell patterns in the stock market. In the third phase, the investment strategies are developed in order to apply selected trading rules using rule-based reasoning to unpredictable stock market. Finally, investment strategies on the basis of rule base are evaluated by real-time trading. This study then examines the profitability of the proposed model.
AB - Investment strategies in stock market have gained unprecedented popularity in major financial markets around the world. However, it is a very difficult problem because of the fluctuation of the stock market. This study presents usefulness of rough set on the rule base to develop real-time investment strategies using technical analysis in futures market. This study consists of four phases. In the first phase, meaningful technical indicators are selected to reflect market movements. In the second phase, rough set is used to extract trading rules for identification of buy and sell patterns in the stock market. In the third phase, the investment strategies are developed in order to apply selected trading rules using rule-based reasoning to unpredictable stock market. Finally, investment strategies on the basis of rule base are evaluated by real-time trading. This study then examines the profitability of the proposed model.
UR - http://www.scopus.com/inward/record.url?scp=63349091537&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=63349091537&partnerID=8YFLogxK
U2 - 10.1109/HICSS.2009.497
DO - 10.1109/HICSS.2009.497
M3 - Conference contribution
AN - SCOPUS:63349091537
SN - 9780769534503
T3 - Proceedings of the 42nd Annual Hawaii International Conference on System Sciences, HICSS
BT - Proceedings of the 42nd Annual Hawaii International Conference on System Sciences, HICSS
T2 - 42nd Annual Hawaii International Conference on System Sciences, HICSS
Y2 - 5 January 2009 through 9 January 2009
ER -