Abstract
From the perspective that financial market time series display chaotic property, we composed a pilot fund. The amount of this fund is 10 million yen formed by a limited partnership. We applied the local fuzzy reconstruction method based on chaos theory to predict a financial time series; the Nikkei 225 index futures market price. And we actually traded those index futures daily to produce a track record during the six months from 1 April 2002 to 30 September 2002. This paper reports the prediction, trading method, trading results, salient problems; expected annual return is 12.0% but actual return is −17.6% including brokerage commission, and discusses its cause and countermeasure.
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Iokibe, T., Kimura, T., Fujimoto, Y., Kuratsu, Y. (2005). Day-trading of Nikkei 225 Index Futures based on Chaos Theory. In: Abraham, A., Dote, Y., Furuhashi, T., Köppen, M., Ohuchi, A., Ohsawa, Y. (eds) Soft Computing as Transdisciplinary Science and Technology. Advances in Soft Computing, vol 29. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-32391-0_119
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DOI: https://doi.org/10.1007/3-540-32391-0_119
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-25055-5
Online ISBN: 978-3-540-32391-4
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