Name
Abstract | ||
|---|---|---|
This study uncovers trading styles in the transactionrecords of US Treasury bond futures. We usestatistical clustering techniques to group togethertrades that are similar. Trade profit was heldback in the clustering process. Results show thatclusters differ significantly in their profit and riskcharacteristics. Some clusters uncover "technical"trading rules. Using the information about the individualaccounts, we describe the assignments ofaccounts to clusters by entropy, and model the... |
Year | Venue | Keywords |
|---|---|---|
1998 | KDD | profitability |
Field | DocType | Citations |
Bond,Econometrics,Data mining,Treasury,Computer science,Markov model,Futures contract,Database transaction,Cluster analysis,Algorithmic trading,Open outcry | Conference | 3 |
PageRank | References | Authors |
0.66 | 0 | 4 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Andreas S. Weigend | 1 | 576 | 112.30 |
| Fei Chen | 2 | 3 | 0.66 |
| Stephen Figlewski | 3 | 3 | 0.66 |
| Steven R. Waterhouse | 4 | 5 | 1.08 |