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대한산업공학회지 = Journal of the Korean Institute of Industrial Engineers, v.38 no.4, 2012년, pp.237 - 243
유재필 (상명대학교 경영공학과) , 신현준 (상명대학교 경영공학과)
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This paper proposes quantitative investment strategies for KOSPI200 index futures using VKOSPI and control chart. Stochastic control chart is employed to decide when to take a position as well as what position out of long and short should be taken by monitoring whether VKOSPI or difference of VKOSPI...
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