Trading strategy based on dynamic mode decomposition: tested in chinese stock market
文献类型：期刊论文
| 作者 | Cui, Ling-xiao; Long, Wen1 |
| 刊名 | Physica a-statistical mechanics and its applications
 |
| 出版日期 | 2016-11-01 |
| 卷号 | 461页码:498-508 |
| 关键词 | Dynamic mode decomposition Technical analysis Trading strategy Superior predictive ability |
| ISSN号 | 0378-4371 |
| DOI | 10.1016/j.physa.2016.06.046 |
| 通讯作者 | Long, wen(longwen@ucas.ac.cn) |
| 英文摘要 | Dynamic mode decomposition (dmd) is an effective method to capture the intrinsic dynamical modes of complex system. in this work, we adopt dmd method to discover the evolutionary patterns in stock market and apply it to chinese a-share stock market. we design two strategies based on dmd algorithm. the strategy which considers only timing problem can make reliable profits in a choppy market with no prominent trend while fails to beat the benchmark moving-average strategy in bull market. after considering the spatial information from spatial-temporal coherent structure of dmd modes, we improved the trading strategy remarkably. then the dmd strategies profitability is quantitatively evaluated by performing spa test to correct the data-snooping effect. the results further prove that dmd algorithm can model the market patterns well in sideways market. (c) 2016 elsevier b.v. all rights reserved. |
| WOS关键词 | TIME-SERIES ; RULES ; RETURNS ; EFFICIENCY ; MOMENTUM |
| WOS研究方向 | Physics |
| WOS类目 | Physics, Multidisciplinary |
| 语种 | 英语 |
| WOS记录号 | WOS:000380601200045 |
| 出版者 | ELSEVIER SCIENCE BV |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2375125 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Long, Wen |
| 作者单位 | 1.Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 3.Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Cui, Ling-xiao,Long, Wen. Trading strategy based on dynamic mode decomposition: tested in chinese stock market[J]. Physica a-statistical mechanics and its applications,2016,461:498-508. |
| APA | Cui, Ling-xiao,&Long, Wen.(2016).Trading strategy based on dynamic mode decomposition: tested in chinese stock market.Physica a-statistical mechanics and its applications,461,498-508. |
| MLA | Cui, Ling-xiao,et al."Trading strategy based on dynamic mode decomposition: tested in chinese stock market".Physica a-statistical mechanics and its applications 461(2016):498-508. |
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来源：中国科学院大学
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