Using rough set to support investment strategies of rule-based trading with real-time data in futures market

Suk Jun Lee, Jae Joon Ahn, Kyong Joo Oh, Tae Yoon Kim, Hyoung Yong Lee, Chi Woo Song

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)

Abstract

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.

Original languageEnglish
Title of host publicationProceedings of the 42nd Annual Hawaii International Conference on System Sciences, HICSS
DOIs
Publication statusPublished - 2009 Apr 3
Event42nd Annual Hawaii International Conference on System Sciences, HICSS - Waikoloa, HI, United States
Duration: 2009 Jan 52009 Jan 9

Publication series

NameProceedings of the 42nd Annual Hawaii International Conference on System Sciences, HICSS

Other

Other42nd Annual Hawaii International Conference on System Sciences, HICSS
CountryUnited States
CityWaikoloa, HI
Period09/1/509/1/9

    Fingerprint

All Science Journal Classification (ASJC) codes

  • Computer Science Applications
  • Information Systems

Cite this

Lee, S. J., Ahn, J. J., Oh, K. J., Kim, T. Y., Lee, H. Y., & Song, C. W. (2009). Using rough set to support investment strategies of rule-based trading with real-time data in futures market. In Proceedings of the 42nd Annual Hawaii International Conference on System Sciences, HICSS [4755438] (Proceedings of the 42nd Annual Hawaii International Conference on System Sciences, HICSS). https://doi.org/10.1109/HICSS.2009.497