How many reference patterns can improve profitability for real-time trading in futures market?

Suk Jun Lee, Kyong Joo Oh, Tae Yoon Kim

Research output: Contribution to journalArticle

6 Citations (Scopus)

Abstract

Investors in futures market used to employ trading system which depends on reference pattern (template) to detect real-time buy or sell signal from the market. Indeed they prepare in advance a number of reference patterns that market movement might follow, and then match the current market with one of reference patterns. One popular way to prepare templates is to fix a relatively small number of them which represent possible market movements efficiently. The underlying assumption of this approach is of course that the current market movement is close enough to one of the templates. However, there is always a calculated risk that the current market is close to none of them sufficiently. In this article we investigate the issue of appropriate number of templates (or template cardinality I) in terms of profitability. We will show that one may improve profitability by increasing I and that random pattern sampling plays a key role in such case. An empirical study is done on the Korean futures market.

Original languageEnglish
Pages (from-to)7458-7470
Number of pages13
JournalExpert Systems with Applications
Volume39
Issue number8
DOIs
Publication statusPublished - 2012 Jun 15

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Profitability
Sampling
Financial markets

All Science Journal Classification (ASJC) codes

  • Engineering(all)
  • Computer Science Applications
  • Artificial Intelligence

Cite this

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How many reference patterns can improve profitability for real-time trading in futures market? / Lee, Suk Jun; Oh, Kyong Joo; Kim, Tae Yoon.

In: Expert Systems with Applications, Vol. 39, No. 8, 15.06.2012, p. 7458-7470.

Research output: Contribution to journalArticle

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