Strategy of futures trading mechanism using extended classifier system

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

doi:10.1109/IS.2004.1344801

Strategy of futures trading mechanism using extended classifier system

Tung Wan Cheng^*, Wen Chih Tsai, An-Pin Chen

^*Corresponding author for this work

Institute of Information Management

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

3 Scopus citations

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 futures 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.

Original language	English
Title of host publication	2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings
Editors	R.R. Yager, V.S. Sgurev, V.S. Jotsov, P.D. Koprinkova-Hristova
Pages	503-507
Number of pages	5
DOIs	https://doi.org/10.1109/IS.2004.1344801
State	Published - 22 Jun 2004
Event	2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings - Varna, Bulgaria Duration: 22 Jun 2004 → 24 Jun 2004

Publication series

Name	2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings
Volume	2

Conference

Conference	2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings
Country/Territory	Bulgaria
City	Varna
Period	22/06/04 → 24/06/04

Keywords

Extended classifier system
Futures exchange
Futures extended classifier trading mechanism
Futures investment

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10.1109/IS.2004.1344801

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Cheng, T. W., Tsai, W. C., & Chen, A.-P. (2004). Strategy of futures trading mechanism using extended classifier system. In R. R. Yager, V. S. Sgurev, V. S. Jotsov, & P. D. Koprinkova-Hristova (Eds.), 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings (pp. 503-507). Article 1344801 (2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings; Vol. 2). https://doi.org/10.1109/IS.2004.1344801

Cheng, Tung Wan ; Tsai, Wen Chih ; Chen, An-Pin. / Strategy of futures trading mechanism using extended classifier system. 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings. editor / R.R. Yager ; V.S. Sgurev ; V.S. Jotsov ; P.D. Koprinkova-Hristova. 2004. pp. 503-507 (2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings).

@inproceedings{b7d441e4508142828c12adb65217747e,

title = "Strategy of futures trading mechanism using extended classifier system",

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 futures 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 = "Extended classifier system, Futures exchange, Futures extended classifier trading mechanism, Futures investment",

author = "Cheng, {Tung Wan} and Tsai, {Wen Chih} and An-Pin Chen",

year = "2004",

month = jun,

day = "22",

doi = "10.1109/IS.2004.1344801",

language = "English",

isbn = "0780382781",

series = "2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings",

pages = "503--507",

editor = "R.R. Yager and V.S. Sgurev and V.S. Jotsov and P.D. Koprinkova-Hristova",

booktitle = "2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings",

note = "2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings ; Conference date: 22-06-2004 Through 24-06-2004",

}

Cheng, TW, Tsai, WC & Chen, A-P 2004, Strategy of futures trading mechanism using extended classifier system. in RR Yager, VS Sgurev, VS Jotsov & PD Koprinkova-Hristova (eds), 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings., 1344801, 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings, vol. 2, pp. 503-507, 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings, Varna, Bulgaria, 22/06/04. https://doi.org/10.1109/IS.2004.1344801

Strategy of futures trading mechanism using extended classifier system. / Cheng, Tung Wan; Tsai, Wen Chih; Chen, An-Pin.
2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings. ed. / R.R. Yager; V.S. Sgurev; V.S. Jotsov; P.D. Koprinkova-Hristova. 2004. p. 503-507 1344801 (2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings; Vol. 2).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Tsai, Wen Chih

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N2 - 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 futures 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.

AB - 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 futures 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.

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KW - Futures exchange

KW - Futures extended classifier trading mechanism

KW - Futures investment

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Cheng TW, Tsai WC, Chen AP. Strategy of futures trading mechanism using extended classifier system. In Yager RR, Sgurev VS, Jotsov VS, Koprinkova-Hristova PD, editors, 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings. 2004. p. 503-507. 1344801. (2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings). doi: 10.1109/IS.2004.1344801

Strategy of futures trading mechanism using extended classifier system

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