Journal of Korean Institute of Industrial Engineers (대한산업공학회지)

Korean Institute of Industrial Engineers (대한산업공학회)
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Investment Strategies for KOSPI200 Index Futures Using VKOSPI and Control Chart

변동성지수와 관리도를 이용한 KOSPI200 지수선물 투자전략

  • Ryu, Jaepil (Dept. of Management Engineering, Sangmyung University) ;
  • Shin, Hyun Joon (Dept. of Management Engineering, Sangmyung University)
  • 유재필 (상명대학교 경영공학과) ;
  • 신현준 (상명대학교 경영공학과)
  • Received : 2012.10.02
  • Accepted : 2012.11.15
  • Published : 2012.12.01
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Abstract

This paper proposes quantitative investment strategies for KOSPI200 index futures using VKOSPI and control chart. Stochastic control chart is employed to decide when to take a position as well as what position out of long and short should be taken by monitoring whether VKOSPI or difference of VKOSPI touches the control limit lines. The strategies include 4 approaches, which are traditional control chart and 2-Area control chart coupled with VKOSPI and its difference, respectively. Computational experiments using real KOSPI200 futures index for recent 3 years are conducted to show the excellence of the proposed investment strategies under control chart framework.

Keywords

References

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