| 基于序列模板的股票时间序列交易决策规则挖掘 |
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| 引用本文： | 兰秋军,马超群,文凤华,甘国君,吴建宏. 基于序列模板的股票时间序列交易决策规则挖掘[J]. 系统工程, 2004, 22(11): 55-58 |
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| 作者姓名： | 兰秋军 马超群 文凤华 甘国君 吴建宏 |
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| 作者单位： | 1. 湖南大学,工商管理学院,中国,长沙,410082
2. 约克大学,加拿大,多伦多,M3J 1P3 |
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| 基金项目： | 国家自然科学基金资助项目(70371028)教育部优秀青年教师资助计划项目(教人司[2003]355 |
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| 摘 要： | 研究一种可由投资者依据其经验与直觉，从股票时间序列中挖掘交易决策规则的方法。它根据投资者事先确定的相似偏好以及设定的买卖序列模板从历史价格序列中识别出与模板相似的形态；按相似度大小划分不同交易决策区间，反映交易决策时机；然后计算各策略组合的收益，构造t统计量在统计显著性基础上获取交易规则。该系统也能用于检验一些已有形态操作方法的有效性。
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| 关 键 词： | 股票市场 数据挖掘 时间序列 交易规则 |
| 文章编号： | 1001-4098(2004)11-0055-04 |
Mining Trading Rules from Stock Time Series Based on Charting Patterns |
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| LAN Qiu-jun,MA Chao-qun,WEN Feng-hua,GAN Guo-jun,WU Jian-hong. Mining Trading Rules from Stock Time Series Based on Charting Patterns[J]. Systems Engineering, 2004, 22(11): 55-58 |
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| Authors: | LAN Qiu-jun MA Chao-qun WEN Feng-hua GAN Guo-jun WU Jian-hong |
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| Abstract: | This paper proposes a method by which investors can acquire some trading rules from stock time series based on their experience and intuition. It can recognize similar chart from history price series via pre-defined chart pattern and similarity preference. Partitioning similarity value into several intervals, and computing the return of each buy & sell interval pair, some trading rules are obtained based on statistical hypothesis tests. This system can also be used to verify the validity of some technical chart patterns. |
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| Keywords: | Stock Market Data Mining Time Series Trading Rule |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
