Strategy of futures trading mechanism using extended classifier system

Author

Cheng, Tung Wan ; Tsai, Wen Chih ; Chen, An Pin

Author_Institution

Inst. of Inf. Manage., National Chiao Tung Univ., Taiwan

Volume

2

fYear

2004

Firstpage

503

Abstract

Nowadays, many artificial intelligent trading models divided the process in three separate subprocesses: trading, validation and application, but these models cannot meet the request of today´s trading environment. A new online learning algorithm, extended classifier system (XCS) is used in futures extended classifier trading mechanism (FXCTM) to satisfy traders´ requirement. This paper verifies that FXCTM provides a very good forecast ability in future market trading performance. Also, this paper discusses about how the population set of XCS affects the result of the model. Finally, the simulation results show that this model could get an obvious profit from futures market.

Keywords

investment; learning (artificial intelligence); marketing; artificial intelligent trading models; extended classifier system; extended classifier trading mechanism; futures investment; market trading; online learning algorithm; Artificial intelligence; Economic forecasting; Genetic algorithms; Information management; Investments; Legged locomotion; Machine learning; Machine learning algorithms; Predictive models; Telephony;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Systems, 2004. Proceedings. 2004 2nd International IEEE Conference

Print_ISBN

0-7803-8278-1

Type

conf

DOI

10.1109/IS.2004.1344801

Filename

1344801