Zastosowanie syntezy logiki rozmytej i teorii Dempstera-Shafera w systemie transakcyjnym

• Autorzy: Kaczmarek K.
• Języki publikacji: PL

Abstrakty

EN

As a result of rapid technological development of IT industry, traders are now equipped with a number of systems supporting their work. The paper presents the developed transaction-based strategy based on the synthesis of fuzzy logic and Dempster-Shafer theory taking into account two different sources of evidence: oscillators and technical analysis indicators determining the strength of the current trend. The developed strategy was implemented in the form of information trading system and optimized using real data from the foreign exchange market (Forex). The system’s efficacy has been proved (tested after optimization stage) using the quotation of prices of the currency pairs EURUSD and GBPUSD (from 01.07.2010 to 30.04.2011). The advantage of the system is that it generates a large number of trading signals, that allows us for an active participation in the market and a very quick closing bad positions. The studies showed that the strategy for the transaction is highly effective (over 70% accurate decisions).

Słowa kluczowe

PL

logika rozmyta; teoria Dempstera-Shafera; połączenie różnych źródeł dowodów; system handlowy; optymalizacja; obliczenia finansowe; Forex

EN

fuzzy logic; Dempster-Shafer theory; different sources of evidence; trading system; optimization; computational finance; Forex

• Wydawca: Komisja Informatyki Polskiej Akademii Nauk, Oddział w Gdańsku
• Czasopismo: Metody Informatyki Stosowanej
• Rocznik: 2011
• Tom: nr 3
• Strony: 77--90
• Opis fizyczny: Bibliogr. 28 poz., rys., tab.

Twórcy

autor

Kaczmarek K.

• Politechnika Częstochowska, Wydział Inżynierii Mechanicznej i Informatyki

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