한국경영과학회:학술대회논문집 (Proceedings of the Korean Operations and Management Science Society Conference)
- 대한산업공학회/한국경영과학회 2002년도 춘계공동학술대회
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- Pages.1066-1070
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- 2002
An Up-Trend Detection Using an Auto-Associative Neural Network : KOSPI 200 Futures
- Baek Jinwoo (Department of Industrial Engineering Seoul National Universitv) ;
- Cho Sungzoon (Department of Industrial Engineering Seoul National Universitv)
- 발행 : 2002.05.01
초록
We propose a neural network based up-trend detector. An auto-associative neural network was trained with 'up-trend' data obtained from the KOSPI 200 future price. It was then used to predict an up-trend Simple investment strategies based on the detector achieved a two year return of
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