Adaptive trading system integrating machine learning and back-testing: Korean bond market case

•We proposed a novel adaptive trading system for the bond market.•This system integrates machine learning and back-testing.•The 10–3-year Korean treasury bond spread was predicted.•We defined the trading strategy and verified the profit generated by this strategy.•Our results can serve as a data-dri...

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Veröffentlicht in:	Expert systems with applications 2021-08, Vol.176, p.114767, Article 114767
1. Verfasser:	Kim, Misuk
Format:	Artikel
Sprache:	eng
Schlagworte:	Adaptive systems Back-testing Bond markets Korean treasury bond market Machine learning Prediction models Return on investment Treasury bond spread prediction Treasury futures trading
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