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Development of Intelligent Stock Trading System Using Pattern Independent Predictor and Turning Point Matrix

Authors
Song, YoojeongLee, Jae WonLee, Jongwoo
Issue Date
Jan-2022
Publisher
SPRINGER
Keywords
Deep learning; Stock price prediction; Moving average; Pattern specific predictor; Turning point matrix
Citation
COMPUTATIONAL ECONOMICS, v.59, no.1, pp 27 - 38
Pages
12
Journal Title
COMPUTATIONAL ECONOMICS
Volume
59
Number
1
Start Page
27
End Page
38
URI
https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/1159
DOI
10.1007/s10614-020-10066-6
ISSN
0927-7099
1572-9974
Abstract
In this paper, we propose an intelligent stock trading system utilizing moving average patterns which reflect short-term fluctuations in stock price and turning point matrix which represents the long term stock price fluctuation. The core technique of our intelligent stock trading system are as follows. The first technique is the composition of pattern-intensive data based on the fluctuation pattern of the moving average line. We constructed pattern-specific predictors for each of the four patterns using the golden cross, the rising transition point and arrangement of the moving average lines. The four specific patterns we defined were developed based on the analysis method commonly used in stock chart analysis. This pattern specific predictors makes it possible to construct pattern-intensive data, and we proved that the pattern-intensive data can improve the performance of the stock price prediction model through experiments. Our second core technique is the Fibonacci sequence-based turning point matrix. Using this, the process of long-term stock price fluctuations can be expressed in a compact way. We used a combination of pattern-specific predictors and turning point matrix to construct input features that could reflect the pattern of constant fluctuations in stock prices in the short and long term. Finally, we have developed a stock trading system that uses this input features to predict future price changes and obtain profit above market returns
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Lee, Jongwoo
공과대학 (인공지능공학부)
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