Applying XCS Model to Spread Trading of Taiwan Stock Index Futures
- Jung-Bin Li 0, Shih-Chuan Fu, An-Pin Chen
- Corresponding Author
- Jung-Bin Li
0National Chiao Tung University
Available Online undefined NaN.
- https://doi.org/10.2991/jcis.2006.122How to use a DOI?
- spread trading, eXtended Classifier System, intraday trading
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Jung-Bin Li AU - Shih-Chuan Fu AU - An-Pin Chen PY - NaN/NaN DA - NaN/NaN TI - Applying XCS Model to Spread Trading of Taiwan Stock Index Futures BT - 9th Joint International Conference on Information Sciences (JCIS-06) PB - Atlantis Press UR - https://doi.org/10.2991/jcis.2006.122 DO - https://doi.org/10.2991/jcis.2006.122 ID - LiNaN/NaN ER -