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Optimization of investment decision on KTB (Korea treasury bond) futures market using rough set
Journal of the Korean Data & Information Science Society 2019;30:271-83
Published online March 31, 2019;  https://doi.org/10.7465/jkdi.2019.30.2.271
© 2019 Korean Data and Information Science Society.

Kyoung Jin Choi1 · Dong Won Lee2 · Bongju Jeong3 · Kyong Joo Oh4

1Graduate Program in Investment Information Engineering, Yonsei University, 234Department of Industrial Engineering, Yonsei University
Correspondence to: Professor, Department of Industrial Engineering, Yonsei University, Seoul 03722, Korea. E-mail: johanoh@yonsei.ac.kr
Received January 12, 2019; Revised February 11, 2019; Accepted March 12, 2019.
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
In the current financial studies, empirical research is mostly focused on stock markets, such as constructing an optimal portfolio using stocks or improving its returns, while research on macroeconomic variables such as government bonds, which are riskfree assets, are insufficient. Unlike individual equity investments that require an analysis of credit and volatility, short-term bonds are easy to access for general investors, but are not actively invested because their asset growth is small due to low annual returns. Based on the rough set theory, this paper reconsidered KTB future as active investment by finding the optimal investment time and improving the return rate. In this study, we tried to analyze the optimal investment strategy using 15 min, 30 min, 60 min, and daily data, and confirmed that KTB futures could be an additional active investment tool proved by the final rate of return.
Keywords : Bond, KTB futures, Sharpe ratio, technical indicator.