Day-trading of Nikkei 225 Index Futures based on Chaos Theory

  • Tadashi Iokibe
  • Takashi Kimura
  • Yasunari Fujimoto
  • Yasuyuki Kuratsu
Conference paper
Part of the Advances in Soft Computing book series (AINSC, volume 29)

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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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Tadashi Iokibe
    • 1
  • Takashi Kimura
    • 1
  • Yasunari Fujimoto
    • 1
  • Yasuyuki Kuratsu
    • 2
  1. 1.Research Institute of Application Technologies for Chaos & Complex Systems Co., Ltd.YokohamaJapan
  2. 2.Research and Pricing Technologies, Inc.TokyoJapan

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