Applying XCS-based Security Trading System on Taiwan

• Main Author: 蘇俊輔
• Other Authors: 陳安斌
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/18786398185453046602

碩士 === 國立交通大學 === 資訊管理研究所 === 93 === Stock market is nonlinear and semi-structured. In other words, there are many different situations and the environment states are changing quickly. In Taiwan, stock market is always affected by political factors. So the fluctuation of stock price is always larger than other country. Therefore, to predict the trend of stock index is more important. Traditional trading strategy like regression model and random walk are limited in fixed time interval and can not perform well. Other learning models like genetic algorithm result in stable trading rules which are generated from specific training time period without being adapted when the environment state is changed. This paper adopts Extended Classifier System (XCS) technique to design an XCS-based Security Trading System (CSTS), which makes continuous on-line learning while making decision and generate trading rules to adapt environment state. The simulation results showed that this system could get an outstanding trading profit and accuracy rate.