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Strategy modeling and classifier training for share trading
Yain-Whar Si; Weng-Lon Lei; Chi-Chong Chiu
2010-12-01
Conference NameInternational Conference on Database Theory and Application/International Conference on Bio-Science and Bio-Technology
Source PublicationDatabase Theory and Application, Bio-Science and Bio-Technology
Volume118 CCIS
Pages56-67
Conference DateDEC 13-15, 2010
Conference PlaceJeju Island, SOUTH KOREA
Abstract

In technical analysis, a trading strategy can trigger either buy or sell signals whenever the specified conditions are satisfied. When a set of strategies are applied to a particular stock, a trader often receives conflicting recommendations from each strategy. In this paper, we propose a unified data mining approach in which the outcomes from all strategies are taken into consideration for decision making. First, we develop a framework for compo- sing complex trading strategies. Next, we show how to perform simulation analysis on constructed strategies using extracted historical prices. The result of the simulation analysis is then used for training classifiers which can be used for recommending stock trading actions. Experiments conducted with the price data from Hong Kong Stock Market show promising results. © 2010 Springer-Verlag.

KeywordTechnical Indicators Trading Signals Trading Strategies
DOI10.1007/978-3-642-17622-7_7
URLView the original
Indexed ByEI
Language英語English
WOS Research AreaBiotechnology & Applied Microbiology ; Computer Science
WOS SubjectBiotechnology & Applied Microbiology ; Computer Science, Information Systems ; Computer Science, Interdisciplinary Applications ; Computer Science, Theory & Methods
WOS IDWOS:000288690600007
Scopus ID2-s2.0-78650780287
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Document TypeConference paper
CollectionDEPARTMENT OF COMPUTER AND INFORMATION SCIENCE
Corresponding AuthorYain-Whar Si
AffiliationFaculty of Science and Technology, University of Macau
First Author AffilicationFaculty of Science and Technology
Corresponding Author AffilicationFaculty of Science and Technology
Recommended Citation
GB/T 7714
Yain-Whar Si,Weng-Lon Lei,Chi-Chong Chiu. Strategy modeling and classifier training for share trading[C], 2010, 56-67.
APA Yain-Whar Si., Weng-Lon Lei., & Chi-Chong Chiu (2010). Strategy modeling and classifier training for share trading. Database Theory and Application, Bio-Science and Bio-Technology, 118 CCIS, 56-67.
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