Applying XCS model to spread trading of Taiwan stock index futures

Jung Bin Li*, Shih Chuan Fu, An-Pin Chen

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This study attempts to find the possibility of making relatively higher profit with lower risk when trading futures commodities. The system applies XCS classifiers to explore the rules of spread trading of these commodities. Our simulation holds a trading strategy that in every transaction, the proposed model buys and sells the same lots of goods of Taiwan index futures. All trades are settled by the end of each trading day. The outcome of this study shows that all the proposed three trading strategies that utilize XCS outperform spread trading decisions made by traditional buy low sell high strategy during the testing period. Regarding to the issue of profitability, intraday trading by XCS also has better performance than the control group. Hence this proposed shows its value in assisting investors to have extra reward without bearing higher risks.

Original languageEnglish
Title of host publicationProceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
DOIs
StatePublished - 1 Dec 2006
Event9th Joint Conference on Information Sciences, JCIS 2006 - Taiwan, ROC, Taiwan
Duration: 8 Oct 200611 Oct 2006

Publication series

NameProceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
Volume2006

Conference

Conference9th Joint Conference on Information Sciences, JCIS 2006
CountryTaiwan
CityTaiwan, ROC
Period8/10/0611/10/06

Keywords

  • Extended classifier system
  • Intraday trading
  • Spread trading

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  • Cite this

    Li, J. B., Fu, S. C., & Chen, A-P. (2006). Applying XCS model to spread trading of Taiwan stock index futures. In Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006 [CIEF-100] (Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006; Vol. 2006). https://doi.org/10.2991/jcis.2006.122