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http://dx.doi.org/10.7232/JKIIE.2012.38.4.237

Investment Strategies for KOSPI200 Index Futures Using VKOSPI and Control Chart  

Ryu, Jaepil (Dept. of Management Engineering, Sangmyung University)
Shin, Hyun Joon (Dept. of Management Engineering, Sangmyung University)
Publication Information
Journal of Korean Institute of Industrial Engineers / v.38, no.4, 2012 , pp. 237-243 More about this Journal
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
VKOSPI; KOSPI200 Index Futures; SPC Control Chart; Investment Strategies; Volatility;
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