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Analysis of intraday price momentum effect based on patterns using dynamic time warping
Journal of the Korean Data & Information Science Society 2017;28:819-29
Published online July 31, 2017
© 2017 Korean Data & Information Science Society.

Chunju Lee1 · Wonbin Ahn2 · Kyong Joo Oh3

1Division of Investment Information Engineering, Yonsei University
23Department of Industrial Engineering, Yonsei University
Correspondence to: Kyong Joo Oh
Professor, Department of Industrial Engineering, Yonsei University, Seoul, 03722, Korea. E-mail: johanoh@yonsei.ac.kr
Received June 9, 2017; Revised July 20, 2017; Accepted July 24, 2017.
This is an Open Access article distributed under the terms of the Creative Commons Attribution Non-Commercial License (http://creativecommons.org/licenses/by-nc/3.0) which permits unrestricted non-commercial use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
The aim of this study is to analyze intraday price momentum. When price trends are formed, price momentum is the phenomenon that future prices tend to follow the trend. When the market opened and closed, a U-shaped trading volume pattern in which the trading volume was concentrated was observed. In this paper, we defined price momentum as the 10 minute trend after market opening is maintained until the end of market. The strategy is to determine buying and selling in accordance with the price change in the initial 10 minutes and liquidating at closing price. In this study, the strategy was empirically analyzed by using minute data, and it showed effectiveness, indicating the presence of an intraday price momentum. A pattern in which returns are increasing at an early stage is called a J-shaped pattern. If the J-shaped pattern occurs, we have found that the price momentum phenomenon tends to be stronger than otherwise. The DTW algorithm, which is well known in the field of pattern recognition, was used for J-shaped pattern recognition and the algorithm was effective in predicting intraday price movements. This study showed that intraday price momentum exists in the KOSPI200 futures market.
Keywords : DTW (dynamic time warping), intraday price momentum, J-shaped price pattern


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