Portfolio allocation using XCS experts in technical analysis, market conditions and options market

Schulenburg [15] first proposed the idea to model different trader types by supplying different input information sets to a group of homogenous LCS agent. Gershoff [12] investigated this idea further with XCS agent. This paper takes an extra step to build a trading system that not only adopts the multi-XCS agent idea, but also utilizes knowledge from discretization theory, modern portfolio theory, options theory and methods of combining multiple models. In comparison to previous work, a wider range of input data were used including technical analysis, general market conditions and options market conditions. Secondly, quantization of continuous financial series was achieved using entropy-based discretization and histogram equalization. Thirdly, subtle investment strategies can now be generated as a result of taking stock price magnitude into account. Finally, multiple agents’ predictions were combined using a variant of stacking. Empirical results show the best-performing XCS agents ...

• Type: Conference
• Year: 2007
• Where: GECCO
• Authors: Sor Ying (Byron) Wong, Sonia Schulenburg
• Keywords: GECCO 2007, Homogenous Lcs Agent, Multiple Models, Xcs Agent