Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

Applying XCS Model to Spread Trading of Taiwan Stock Index Futures

Authors
Jung-Bin Li1, Shih-Chuan Fu, An-Pin Chen
1National Chiao Tung University
Corresponding Author
Jung-Bin Li
Available Online October 2006.
DOI
10.2991/jcis.2006.122How to use a DOI?
Keywords
spread trading, eXtended Classifier System, intraday trading
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.

Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
Series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
10.2991/jcis.2006.122How to use a DOI?
Copyright
© 2006, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Jung-Bin Li
AU  - Shih-Chuan Fu
AU  - An-Pin Chen
PY  - 2006/10
DA  - 2006/10
TI  - Applying XCS Model to Spread Trading of Taiwan Stock Index Futures
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.122
DO  - 10.2991/jcis.2006.122
ID  - Li2006/10
ER  -