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dc.contributor.authorChen, APen_US
dc.contributor.authorChang, YHen_US
dc.date.accessioned2014-12-08T15:25:20Z-
dc.date.available2014-12-08T15:25:20Z-
dc.date.issued2005en_US
dc.identifier.isbn0-7803-9363-5en_US
dc.identifier.urihttp://hdl.handle.net/11536/17728-
dc.description.abstractThis research demonstrates the accurate forecasting performance of extended classifier system (XCS) based. on contrary sentiment indicators in predicting S&P 500 futures. These indicators include volatility index, put-call ratio, and trading index. To prove that XCS based on sentiment indicators can fit the financial forecasting domain, the performance of XCS is compared with that of three trading strategies, including buy-and-hold, trend-following, and mean-reversion strategies over the same sample period. The simulation results showed that XCS based on contrary sentiment indicators possesses both forecasting accuracy and profits earning capability in the real world.en_US
dc.language.isoen_USen_US
dc.titleUsing extended classifier system to forecast S&P futures based on contrary sentiment indicatorsen_US
dc.typeProceedings Paperen_US
dc.identifier.journal2005 IEEE CONGRESS ON EVOLUTIONARY COMPUTATION, VOLS 1-3, PROCEEDINGSen_US
dc.citation.spage2084en_US
dc.citation.epage2090en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000232173100277-
顯示於類別:會議論文