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

研究成果: Conference contribution同行評審

摘要

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.

原文English
主出版物標題Proceedings of the 9th Joint Conference on Information Sciences, JCIS 2006
DOIs
出版狀態Published - 1 十二月 2006
事件9th Joint Conference on Information Sciences, JCIS 2006 - Taiwan, ROC, Taiwan
持續時間: 8 十月 200611 十月 2006

出版系列

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

Conference

Conference9th Joint Conference on Information Sciences, JCIS 2006
國家Taiwan
城市Taiwan, ROC
期間8/10/0611/10/06

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