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Using Rough Set to Support Investment Strategies of Rule-Based Trading with Real-Time Data in Futures Market

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6 Author(s)
Suk Jun Lee ; Dept. of Inf. & Ind. Eng., Yonsei Univ., Seoul ; Jae Joon Ann ; Kyong Joo Oh ; Tae Yoon Kim
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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.

Published in:

System Sciences, 2009. HICSS '09. 42nd Hawaii International Conference on

Date of Conference:

5-8 Jan. 2009

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