Adaptive trading system integrating machine learning and back-testing: Korean bond market case

作者：

Highlights：

• We proposed a novel adaptive trading system for the bond market.

• This system integrates machine learning and back-testing.

• The 10–3-year Korean treasury bond spread was predicted.

• We defined the trading strategy and verified the profit generated by this strategy.

• Our results can serve as a data-driven decision-making support system in real world.

摘要

•We proposed a novel adaptive trading system for the bond market.•This system integrates machine learning and back-testing.•The 10–3-year Korean treasury bond spread was predicted.•We defined the trading strategy and verified the profit generated by this strategy.•Our results can serve as a data-driven decision-making support system in real world.

论文关键词：Korean treasury bond market,Treasury bond spread prediction,Treasury futures trading,Back-testing,Machine learning

论文评审过程：Received 22 September 2020, Revised 8 December 2020, Accepted 19 February 2021, Available online 15 March 2021, Version of Record 1 April 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.114767