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

Applying XCS Model to Spread Trading of Taiwan Stock Index Futures

Authors
Jung-Bin Li 0, Shih-Chuan Fu, An-Pin Chen
Corresponding Author
Jung-Bin Li
0National Chiao Tung University
Available Online October 2006.
DOI
https://doi.org/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.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
DOI
https://doi.org/10.2991/jcis.2006.122How to use a DOI?
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  - 2006/10
DA  - 2006/10
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  - Li2006/10
ER  -