標題: Applying the Extended Classifier System to Trade Interest Rate Futures Based on Technical Analysis
作者: Chen, An-Pin
Hsu, Yu-Chia
Huang, Chien-Hua
Yang, Ya-Chun
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
公開日期: 2008
摘要: In practice, it is difficult to gain profit in the process of trading interest rate derivative commodities. This could be attributed to the complexity of existing pricing models, which are derived from the term structure and yield curve, both of which cannot adapt well to short-term market dynamics. In this study, we use the Extended Classifier System (XCS) to model the market behavior of interest rate futures, the purpose of which is to provide effective trading decision support. Several technical indicators and their first- and second-order derivatives are selected as the market descriptive variables, which are then used for XCS training. Finally, the adaptive rules of the classifiers, which consist of conditions with relative actions considered helpful for constructing the automatic trading system, are generated from the XCS knowledge discovery process. The market data of the 10-year government bond futures traded in Taiwan are chosen for empirical study to verify the accuracy and profitability of the XCS model. These were also used to conduct a comparative evaluation between the random walk and tendency following models and the XCS model.
URI: http://hdl.handle.net/11536/819
http://dx.doi.org/10.1109/ISDA.2008.219
ISBN: 978-0-7695-3382-7
DOI: 10.1109/ISDA.2008.219
期刊: ISDA 2008: EIGHTH INTERNATIONAL CONFERENCE ON INTELLIGENT SYSTEMS DESIGN AND APPLICATIONS, VOL 3, PROCEEDINGS
起始頁: 598
結束頁: 603
顯示於類別:會議論文


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