Applying XCS model to spread trading of Taiwan stock index futures

Jung Bin Li; Shih Chuan Fu; An-Pin Chen

doi:10.2991/jcis.2006.122

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

Institute of Information Management

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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 language	English
Title of host publication	Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
DOIs	https://doi.org/10.2991/jcis.2006.122
State	Published - 1 Dec 2006
Event	9th Joint Conference on Information Sciences, JCIS 2006 - Taiwan, ROC, Taiwan Duration: 8 Oct 2006 → 11 Oct 2006

Publication series

Name	Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
Volume	2006

Conference

Conference	9th Joint Conference on Information Sciences, JCIS 2006
Country	Taiwan
City	Taiwan, ROC
Period	8/10/06 → 11/10/06

Keywords

Extended classifier system
Intraday trading
Spread trading

Access to Document

10.2991/jcis.2006.122

Link to publication in Scopus

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Cite this

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title = "Applying XCS model to spread trading of Taiwan stock index futures",

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.",

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author = "Li, {Jung Bin} and Fu, {Shih Chuan} and An-Pin Chen",

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Li, JB, Fu, SC & 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, 9th Joint Conference on Information Sciences, JCIS 2006, Taiwan, ROC, Taiwan, 8/10/06. https://doi.org/10.2991/jcis.2006.122

Applying XCS model to spread trading of Taiwan stock index futures. / Li, Jung Bin; Fu, Shih Chuan; Chen, An-Pin.

Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006. 2006. CIEF-100 (Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006; Vol. 2006).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AB - 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.

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