Supporting decisions on the Forex market using fuzzy approach

• Autorzy: Juszczuk Przemysław , Kruś Lech

Identyfikatory

DOI

10.14313/JAMRIS/2‐2020/20

• Języki publikacji: EN

Abstrakty

EN

A new concept of the multicriteria fuzzy trading system using the technical analysis is proposed. The existing trading systems use different indicators of the technical analysis and generate buy or sell signal only when assumed conditions for a given indicator are satisfied. The information presented to the trader – decision maker is binary. The decision maker obtains a signal or no. In comparison to the existing traditional systems called as crisp, the proposed system treats all considered indicators jointly using the multicriteria approach and the binary information is extended with the use of the fuzzy approach. Currency pairs are considered as variants in the multicriteria space in which criteria refer to different technical indicators. The introduced domination relation allows generating the most efficient, non‐dominated (Pareto optimal) variants in the space. An algorithm generated these non-dominated variants is proposed. It is implemented in a computer‐based system assuring the sovereignty of the decision maker. We compare the proposed system with the traditional crisp trading system. It is made experimentally on different sets of real‐world data for three different types of trading: short‐term, medium and long‐term trading. The achieved results show the computational efficiency of the proposed system. The proposed approach is more robust and flexible than the traditional crisp approach. The set of variants derived for the decision maker in the case of the proposed approach includes only non‐dominated variants, what is not possible in the case of the traditional crisp approach. The reservation point and its impact on the overall results are measured with the use of the sensitivity analysis.

Słowa kluczowe

EN

trading system; Forex; fuzzy membership function; multicriteria analysis

• Wydawca: Łukasiewicz Industrial Research Institute for Automation and Measurements PIAP
• Czasopismo: Journal of Automation Mobile Robotics and Intelligent Systems
• Rocznik: 2020
• Tom: Vol. 14, No. 2
• Strony: 50--62
• Opis fizyczny: Bibliogr. 44 poz., rys.

Twórcy

autor

Juszczuk Przemysław

• University of Economics, Faculty of Informatics and Communication, Department of Knowledge Engineering, 1 Maja 50, 40‑287 Katowice, Poland

autor

Kruś Lech

• Systems Research Institute, Polish Academy of Sciences, Newelska 6, 01‑447 Warsaw, Poland

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2020).