Empirical study of trading rule discovery in China stock market

Authors:
Luo Bo;Sun Linyan;Richard Mweene
Affiliations:
Management School of Xi'an Jiaotong University, Xi'an 710049, China;Management School of Xi'an Jiaotong University, Xi'an 710049, China;Management School of Xi'an Jiaotong University, Xi'an 710049, China
Venue:
Expert Systems with Applications: An International Journal
Year:
2005

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Abstract

This case study employs classic knowledge engineering methods. We found a new template grid from Shanghai Stock Exchange, and compared it with the classic one. The results show that the new template grid is more effective than the classic one. Then, we built a trading rule named Rule 1v. The finding of results using our trading rule, which is significantly better than the overall average for the period, constitute a failure to confirm our implicit null hypothesis, which is the efficient market hypothesis.