دانلود مقاله ISI انگلیسی شماره 101650
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
101650 2017 10 صفحه PDF سفارش دهید 7413 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
A relative value trading system based on a correlation and rough set analysis for the foreign exchange futures market
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Engineering Applications of Artificial Intelligence, Volume 61, May 2017, Pages 47-56

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چکیده انگلیسی

This paper describes the conceptual framework of a relative value (RV)-based trading system focused on the data characteristics of the foreign exchange futures market using a correlation and rough set analysis. RV trading is an investment strategy that can generate potential profits based on the RV of two securities, regardless of market direction. We select pairs with a positive correlation, negative correlation, or no correlation based on the correlation coefficients between foreign exchange futures contracts. To implement and experiment with the proposed system, trading rules are generated using a rough set analysis that employs technical indicators derived from the RVs of the pairs. The performance of the proposed trading system is analyzed using the momentum and buy-and-hold trading strategies as benchmarks. The experimental results and analyses demonstrate that the level of the correlation of the pairs must be considered when developing stable and profitable RV trading systems in a foreign exchange futures market.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.