유전알고리즘 활용한 실시간 패턴 트레이딩 시스템 프레임워크
Conceptual Framework for Pattern-Based Real-Time Trading System using Genetic Algorithm
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초록
The aim of this study is to design an intelligent pattern-based real-time trading system (PRTS) using rough set analysis oftechnical indicators, dynamic time warping (DTW), and genetic algorithm in stock futures market. Rough set is well knownas a data-mining tool for extracting trading rules from huge data sets such as real-time data sets, and a technical indicator isused for the construction of the data sets. To measure similarity of patterns, DTW is used over a given period. Through anempirical study, we identify the ideal performances that were profitable in various market conditions.
Abstract
The aim of this study is to design an intelligent pattern-based real-time trading system (PRTS) using rough set analysis oftechnical indicators, dynamic time warping (DTW), and genetic algorithm in stock futures market. Rough set is well knownas a data-mining tool for extracting trading rules from huge data sets such as real-time data sets, and a technical indicator isused for the construction of the data sets. To measure similarity of patterns, DTW is used over a given period. Through anempirical study, we identify the ideal performances that were profitable in various market conditions.
참고문헌 (20)
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