Fuzzy trading system on the forex market for deriving the portfolio of instruments

• Autorzy: Juszczuk Przemysław , Kruś Lech

Identyfikatory

DOI

10.2478/candc-2022-0025

• Języki publikacji: EN

Abstrakty

EN

Decision support and trading systems for the forex market mostly derive a single signal for the decision-maker. This is so, because instruments are evaluated based on a single criterion, which creates a ranking of instruments, from which the best one is selected. At the same time, one can observe a lack of tools al- lowing one to derive the set of non-dominated trading opportunities considered in the multicriteria space. This article focuses on multicriteria analysis, in which several different market indicators describe a single instrument on the forex market (currency pair), leading to definite criteria. Thus, for a given time horizon, we consider a set of currency pairs described by a group of technical market indicators in every trading session. However, instead of deriving crisp information, based on the buy-no buy binary logic, we use concepts from the fuzzy sets theory, in which each criterion for a single variant takes a value from the h0, 1i interval. We select only the non-dominated variants from such a set, which will be used as elements of the portfolio of currency pairs on the forex market. We test our idea on the real-world data covering more than ten years, several technical market indicators, and over twenty different currency pairs. The preliminary results show that the proposed idea can be treated as a promising concept for deriving a portfolio of currency pairs instead of focusing on only a single currency pair.

Słowa kluczowe

EN

trading system; forex market; fuzzy sets; multicriteria optimization

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2022
• Tom: Vol. 51, No. 4
• Strony: 467--486
• Opis fizyczny: Bibliogr. 24 poz., rys., tab.

Twórcy

autor

Juszczuk Przemysław

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

autor

Kruś Lech

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

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