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Finding the optimal frequency for trade and development of system trading strategies in futures market using dynamic time warping  

Lee, Suk-Jun (Department of Information and Industrial Engineering, Yonsei University)
Oh, Kyong-Joo (Department of Information and Industrial Engineering, Yonsei University)
Publication Information
Journal of the Korean Data and Information Science Society / v.22, no.2, 2011 , pp. 255-267 More about this Journal
Abstract
The aim of this study is to utilize system trading for making investment decisions and use technical analysis and Dynamic Time Warping (DTW) to determine similar patterns in the frequency of stock data and ascertain the optimal timing for trade. The study will examine some of the most common patterns in the futures market and use DTW in terms of their frequency (10, 30, 60 minutes, and daily) to discover similar patterns. The recognized similar patterns were verified by executing trade simulation after applying specific strategies to the technical indicators. The most profitable strategies among the set of strategies applied to common patterns were again applied to the similar patterns and the results from DTW pattern recognition were examined. The outcome produced useful information on determining the optimal timing for trade by using DTW pattern recognition through system trading, and by applying distinct strategies depending on data frequency.
Keywords
Dynamic time warping; futures market; technical analysis; technical indicator;
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Times Cited By KSCI : 4  (Citation Analysis)
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