Using the XCS classifier system for portfolio allocation of MSCI index component stocks

Expert Systems with Applications

Volumn 38, Issue 1, 2011, Pages 151-154

  Tsai, Wen Chih ^a   Chen, An Pin ^a  

^a NATIONAL CHIAO TUNG UNIVERSITY   (Taiwan)

Author keywords

Financial forecasting; MSCI Taiwan index component stock; Reinforcement learning; XCS

Indexed keywords

CAPITAL INVESTMENT; EXTENDED CLASSIFIER SYSTEM; FINANCIAL FORECASTING; FINANCIAL MARKET; FUTURE TRENDS; MORGAN STANLEY; MSCI TAIWAN INDEX COMPONENT STOCK; PRICE TRENDS; TRADE VOLUME; XCS; XCS CLASSIFIER SYSTEMS;

ARTIFICIAL INTELLIGENCE; CLASSIFIERS; INVESTMENTS; OPTIMIZATION; PATTERN RECOGNITION SYSTEMS; PROFITABILITY; REINFORCEMENT LEARNING;

FORECASTING;

EID: 77956612541     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2010.06.031     Document Type: Article

References (19)

1. A.-P. Chen, and M.-Y. Chen Integrating extended classifier system and knowledge extraction model for financial investment prediction: An empirical study Expert Systems with Applications 31 2006 174 183
2. D.E. Goldberg Genetic algorithms in search, optimization, and machine learning 1989 Addison-Wesley Reading, MA
3. R.R. Hashemi, L.A. Blanc, C.T. Rucks, and A. Rajaratnam A hybrid intelligent system for predicting bank holding structures European Journal of Operational Research 109 1998 390 402
4. J.H. Holland Adaptation in natural and artificial systems 1975 University Press of Michigan Ann Arbor, MI
5. J.H. Holland, and J.S. Reitman Cognitive systems based on adaptive algorithms D.A. Waterman, F. Hayes-Roth, Pattern directed interference systems 1978 Academic Press New York 313 329
6. Holmes, J. H. (1996). Evolution-assisted discovery of sentinel features in epidemiologic surveillance. PhD thesis. Philadelphia, PA: Drexel University.
7. B. Kovalerchuk, and E. Vityaev Data mining in finance 2000 Kluwer Dordrecht
8. Liao, P. Y., & Chen, J. S. (2001). Dynamic trading strategy learning model using learning classifier systems. In Proceedings of the 2001 congress on evolutionary computation (pp. 783-789).
9. R.T. McIvor, A.G. McCloskey, P.K. Humphreys, and L.P. Maguire Using a fuzzy approach to support financial analysis in the corporate acquisition process Expert Systems with Applications 27 2004 533 547
10. K.J. Oh, T.Y. Kim, and S. Min Using genetic algorithm to support portfolio optimization for index fund management Expert Systems with Applications 28 2005 371 379
11. S. Schulenburg, and P. Ross Explorations in LCS models of stock trading Lecture notes in artificial intelligence 2001 Springer-Verlag (pp. 151-180)
12. W. Stolzmann An introduction to anticipatory classifier systems Lecture Notes in Artificial Intelligence 1813 2000 175 194
13. M. Studley, and L. Bull Using the XCS classifier system for multi-objective reinforcement learning problems Artificial Life 13 1 2007 69 86
14. R.R. Trippi, and D. Desieno Trading equity index futures with a neural network Journal of Portfolio Management Fall 1992 27 33
15. Tsai, W.-C., & Chen, A.-P. (2008). Service oriented architecture for financial customer relationship management. In Proceedings of distributed event-based systems (p. 332). ACM.
16. Y.F. Wang Mining stock price using fuzzy rough set system Expert Systems with Applications 24 2003 13 23
17. S.W. Wilson Rule strength based on accuracy Evolutionary Computation 3 2 1996 143 175
18. Y. Yuan, and M.J. Shaw Induction of fuzzy decision trees Fuzzy Sets and Systems 69 1995 125 139
19. Y. Yuan, and H. Zhuang A genetic algorithm for generating fuzzy classification rules Fuzzy Sets and Systems 84 1996 1 19