Data Mining Methods on Time Price Series for Algorithmic Trading Systems
Buy cheap and sell more expensive. This is the main principle to make a profit on capital markets for hundreds of years. The rule is simple but to apply it in practice has become a very difficult task nowadays, with very high price volatility in the financial markets. Once electronic trading was wid...
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| Format: | Article |
| Language: | English |
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Inforec Association
2019-01-01
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| Series: | Informatică economică |
| Subjects: | |
| Online Access: | http://revistaie.ase.ro/content/89/03%20-%20pauna.pdf |
| _version_ | 1819276915464208384 |
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| author | Cristian PAUNA |
| author_facet | Cristian PAUNA |
| author_sort | Cristian PAUNA |
| collection | DOAJ |
| description | Buy cheap and sell more expensive. This is the main principle to make a profit on capital markets for hundreds of years. The rule is simple but to apply it in practice has become a very difficult task nowadays, with very high price volatility in the financial markets. Once electronic trading was widespread released, reliable solutions can be found using algorithmic trading systems. This paper presents a data mining method applied to the time price series in order to generate buy and sell decisions using computational algorithms. It was found that an original data mining method based on the price cyclicality function gives us an important profit edge when it is about the capital investments on the short and medium term. The Cyclical Trading Method will be presented together with the main principles and practices to design and optimize trading software. Test results are also included in this article in order to compare the presented method with other known methodologies to trade the capital markets. |
| first_indexed | 2024-12-23T23:47:48Z |
| format | Article |
| id | doaj.art-d27b3589b4e84f30be2bdeff8f57a592 |
| institution | Directory Open Access Journal |
| issn | 1453-1305 1842-8088 |
| language | English |
| last_indexed | 2024-12-23T23:47:48Z |
| publishDate | 2019-01-01 |
| publisher | Inforec Association |
| record_format | Article |
| series | Informatică economică |
| spelling | doaj.art-d27b3589b4e84f30be2bdeff8f57a5922022-12-21T17:25:28ZengInforec AssociationInformatică economică1453-13051842-80882019-01-01231263610.12948/issn14531305/23.1.2019.03Data Mining Methods on Time Price Series for Algorithmic Trading SystemsCristian PAUNABuy cheap and sell more expensive. This is the main principle to make a profit on capital markets for hundreds of years. The rule is simple but to apply it in practice has become a very difficult task nowadays, with very high price volatility in the financial markets. Once electronic trading was widespread released, reliable solutions can be found using algorithmic trading systems. This paper presents a data mining method applied to the time price series in order to generate buy and sell decisions using computational algorithms. It was found that an original data mining method based on the price cyclicality function gives us an important profit edge when it is about the capital investments on the short and medium term. The Cyclical Trading Method will be presented together with the main principles and practices to design and optimize trading software. Test results are also included in this article in order to compare the presented method with other known methodologies to trade the capital markets.http://revistaie.ase.ro/content/89/03%20-%20pauna.pdfData miningTime price seriesCapital marketsCyclical trading methodTrading algorithmsTrading software |
| spellingShingle | Cristian PAUNA Data Mining Methods on Time Price Series for Algorithmic Trading Systems Informatică economică Data mining Time price series Capital markets Cyclical trading method Trading algorithms Trading software |
| title | Data Mining Methods on Time Price Series for Algorithmic Trading Systems |
| title_full | Data Mining Methods on Time Price Series for Algorithmic Trading Systems |
| title_fullStr | Data Mining Methods on Time Price Series for Algorithmic Trading Systems |
| title_full_unstemmed | Data Mining Methods on Time Price Series for Algorithmic Trading Systems |
| title_short | Data Mining Methods on Time Price Series for Algorithmic Trading Systems |
| title_sort | data mining methods on time price series for algorithmic trading systems |
| topic | Data mining Time price series Capital markets Cyclical trading method Trading algorithms Trading software |
| url | http://revistaie.ase.ro/content/89/03%20-%20pauna.pdf |
| work_keys_str_mv | AT cristianpauna dataminingmethodsontimepriceseriesforalgorithmictradingsystems |