Applying Extending Classifier System to Develop an Option-Operation Suggestion Model of Intraday Trading – An Example of Taiwan Index Option

  • An-Pin Chen
  • Yi-Chang Chen
  • Wen-Chuan Tseng
Conference paper

DOI: 10.1007/11552413_5

Volume 3681 of the book series Lecture Notes in Computer Science (LNCS)
Cite this paper as:
Chen AP., Chen YC., Tseng WC. (2005) Applying Extending Classifier System to Develop an Option-Operation Suggestion Model of Intraday Trading – An Example of Taiwan Index Option. In: Khosla R., Howlett R.J., Jain L.C. (eds) Knowledge-Based Intelligent Information and Engineering Systems. KES 2005. Lecture Notes in Computer Science, vol 3681. Springer, Berlin, Heidelberg

Abstract

This novel study developed an option-operation suggestion model by applying integrated artificial intelligence technique, extending learning classifier system (XCS), which incorporates reinforcement machine learning method to the dynamical problems to the behavior finance. Due to the history of Behavior Finance, many researches have found that the shape of stock trend is not following random walk model, but the repeated trading patterns exist which are referred to as investors experiences. Furthermore, some classical researches have been merely adopted traditional artificial intelligence to analyze the result. Those methodologies are not sufficiently to resolve the dynamical problem, such as economical trading behaviors. Therefore, the model has been proposed concerning intraday trading but avoiding the system risk in the short-term position to benefit investors. By dynamic learning ability of XCS and general population features, the output operation suggestions could be obtained as a reference strategy for investors to predict the index option trend. As an example of Taiwan Index option, the results of the accuracy and accumulative profit have been exhibited remarkable outcome, and so as the simulations of short term prediction with 10-minute and 20-minute tick data.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • An-Pin Chen
    • 1
  • Yi-Chang Chen
    • 1
  • Wen-Chuan Tseng
    • 1
  1. 1.Institute of Information ManagementNational Chiao Tung University, Hsinchu, TaiwanHsinchuTaiwan, R.O.C.