참고문헌
- Asness, C. S., Moskowitz, T. J. and Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68, 929-985. https://doi.org/10.1111/jofi.12021
- Chung, S. H. and Oh, K. J. (2014). Using genetic algorithm to optimize rough set strategy in KOSPI200 futures market. Journal of the Korean Data & Information Science Society, 25, 281-292. https://doi.org/10.7465/jkdi.2014.25.2.281
- Conrad, J. and Kaul, G. (1998). An anatomy of trading strategies. Review of Financial Studies, 11, 489-520. https://doi.org/10.1093/rfs/11.3.489
- Gao, L., Han, Y., Li, S. Z. and Zhou, G. (2015). Market intraday momentum, Washington University, St. Louis.
- Griffin, J. M., Ji, X. and Martin, J. S. (2003). Momentum investing and business cycle risk: Evidence from pole to pole. The Journal of Finance, 58, 2515-2547. https://doi.org/10.1046/j.1540-6261.2003.00614.x
- Hurst, B., Ooi, Y. H. and Pedersen, L. H. (2017). A century of evidence on trend-following investing, AQR Capital Management.
- Jain, P. C. and Joh, G. H. (1988). The dependence between hourly prices and trading volume. Journal of Financial and Quantitative Analysis, 23, 269-283. https://doi.org/10.2307/2331067
- Jegadeesh, N. and Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48, 65-91. https://doi.org/10.1111/j.1540-6261.1993.tb04702.x
- Keogh, E. J. and Pazzani, M. J. (1999). Scaling up dynamic time warping to massive dataset. European Conference on Principles of Data Mining and Knowledge Discovery, Springer, Berlin, Heidelberg.
- Kim, D. H. and Shu, H. J. (2008). Empirical study on the performance of style momentum strategies in the korean stock market. Korean Journal of Business Administration, 21, 1945-1975.
- Kim, S. (2012). A study on the profitability of the trading strategies using past returns. Asian Review of Financial Research, 25, 203-246.
- Kim, Y. B. (2004). Conditional contrarian strategy and trading volume effect in the Korean stock market. Journal of Industrial Economics and Business, 17, 505-524.
- Kim, H. H. and Oh, K. J. (2012). Using rough set to develop the optimization strategy of evolving timedivision trading in the futures market. Journal of the Korean Data & Information Science Society, 23, 881-893. https://doi.org/10.7465/jkdi.2012.23.5.881
- Kwon, D. and Lee, T. (2014). Hedging effectiveness of KOSPI200 index futures through VECM-CC-GARCH model. Journal of the Korean Data & Information Science Society, 25, 1449-1466. https://doi.org/10.7465/jkdi.2014.25.6.1449
- Lee, S. J. and Oh, K. J. (2011). Finding the optimal frequency for trade and development of system trading strategies in futures market using dynamic time warping. Journal of the Korean Data & Information Science Society, 22, 255-267.
- Lo, W. and MacKinlay, A. (1990). When are contrarian profits due to stock market overreaction? Review of Financial Studies, 3, 175-205. https://doi.org/10.1093/rfs/3.2.175
- Meinard, M. (2007). Information retrieval for music and motion, Springer, Berlin, Heidelberg.
- Moskowitz, T. J., Ooi, Y. H. and Pedersen, L. H. (2012). Time series momentum. Journal of Financial Economics, 104, 228-250. https://doi.org/10.1016/j.jfineco.2011.11.003
- Oh, K. J. and Kim, Y. M. (2013). An intelligent early warning system for forecasting abnormal investment trends of foreign investors. Journal of the Korean Data & Information Science Society, 24, 223-233. https://doi.org/10.7465/jkdi.2013.24.2.223
- Park, K. I. and Jee, C. (2006). Contrarian strategy based on past stock return and volatility. The Korean Journal of Financial Management, 23, 1-25.
피인용 문헌
- 이동 평균 기반 동적 시간 와핑 기법을 이용한 시계열 키워드 데이터의 분류 성능 개선 방안 vol.36, pp.4, 2017, https://doi.org/10.3743/kosim.2019.36.4.083