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http://dx.doi.org/10.11627/jkise.2013.36.4.123

Conceptual Framework for Pattern-Based Real-Time Trading System using Genetic Algorithm  

Lee, Suk-Jun (Business School, Kwangwoon University)
Jeong, Suk-Jae (Business School, Kwangwoon University)
Publication Information
Journal of Korean Society of Industrial and Systems Engineering / v.36, no.4, 2013 , pp. 123-129 More about this Journal
Abstract
The aim of this study is to design an intelligent pattern-based real-time trading system (PRTS) using rough set analysis of technical indicators, dynamic time warping (DTW), and genetic algorithm in stock futures market. Rough set is well known as a data-mining tool for extracting trading rules from huge data sets such as real-time data sets, and a technical indicator is used for the construction of the data sets. To measure similarity of patterns, DTW is used over a given period. Through an empirical study, we identify the ideal performances that were profitable in various market conditions.
Keywords
Stock Futures Market; Pattern-Based; Rough Set Analysis; Dynamic Time Warping; Genetic Algorithm;
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