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	Trading strategy based on dynamic mode decomposition: tested in chinese stock market
	Cui, Ling-xiao; Long, Wen1
刊名	Physica a-statistical mechanics and its applications
	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
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000380601200045
内容类型	期刊论文
URI标识	http://www.corc.org.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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