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

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資訊管理研究所

研究成果: Conference contribution › 同行評審

3 引文斯高帕斯（Scopus）

摘要

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.

原文	English
主出版物標題	2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings
編輯	R.R. Yager, V.S. Sgurev, V.S. Jotsov, P.D. Koprinkova-Hristova
頁面	503-507
頁數	5
DOIs	https://doi.org/10.1109/IS.2004.1344801
出版狀態	Published - 22 6月 2004
事件	2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings - Varna, 保加利亞持續時間: 22 6月 2004 → 24 6月 2004

出版系列

名字	2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings
卷	2

Conference

Conference	2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings
國家/地區	保加利亞
城市	Varna
期間	22/06/04 → 24/06/04

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10.1109/IS.2004.1344801

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Link to publication in Scopus

引用此

Cheng, T. W., Tsai, W. C., & Chen, A.-P. (2004). Strategy of futures trading mechanism using extended classifier system. 於 R. R. Yager, V. S. Sgurev, V. S. Jotsov, & P. D. Koprinkova-Hristova (編輯), 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings (頁 503-507). 文章 1344801 (2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings; 卷 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. 編輯 / R.R. Yager ; V.S. Sgurev ; V.S. Jotsov ; P.D. Koprinkova-Hristova. 2004. 頁 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. 於 RR Yager, VS Sgurev, VS Jotsov & PD Koprinkova-Hristova (編輯), 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings., 1344801, 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings, 卷 2, 頁 503-507, 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings, Varna, 保加利亞, 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. 編輯 / 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; 卷 2).

研究成果: Conference contribution › 同行評審

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T1 - Strategy of futures trading mechanism using extended classifier system

AU - Cheng, Tung Wan

AU - Tsai, Wen Chih

AU - Chen, An-Pin

PY - 2004/6/22

Y1 - 2004/6/22

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.

KW - Extended classifier system

KW - Futures exchange

KW - Futures extended classifier trading mechanism

KW - Futures investment

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U2 - 10.1109/IS.2004.1344801

DO - 10.1109/IS.2004.1344801

M3 - Conference contribution

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T3 - 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings

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BT - 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings

A2 - Yager, R.R.

A2 - Sgurev, V.S.

A2 - Jotsov, V.S.

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T2 - 2004 2nd International IEEE Conference 'Intelligent Systems' - Proceedings

Y2 - 22 June 2004 through 24 June 2004

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Cheng TW, Tsai WC, Chen AP. Strategy of futures trading mechanism using extended classifier system. 於 Yager RR, Sgurev VS, Jotsov VS, Koprinkova-Hristova PD, 編輯, 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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