Wyniki wyszukiwania - BazTech

1

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

Juszczuk Przemysław, Kruś Lech

Control and Cybernetics

|

2022

|

Vol. 51, No. 4

467--486

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.

2

Objectives of an enterprise. Bi-criteria analysis and negotiation problems

Gadomski Jan, Kruś Lech

Control and Cybernetics

|

2021

|

Vol. 50, No. 1

169--193

EN

A decision-making process is considered for a firm, in which two coexisting groups of interests pursue different goals. An original model based on a non-neoclassical production function is proposed. The function satisfies the conditions formulated by R. Frisch, which makes it possible to investigate firms operating in the environment far from the perfect competition and pursuing goals other than profit maximization. A two-criteria optimization problem is formulated with the two criteria representing the goals of the groups: maximization of profit and maximization of income generated by the firm with respect to capital and labor. The problem is considered in two variants of the product market, namely the perfect and the imperfect competition. Solutions of the problem are analyzed including the derived Pareto sets. The importance of knowledge about the Pareto set in negotiations between the groups of interests in the firm is illustrated and discussed.

3

Supporting decisions on the Forex market using fuzzy approach

Juszczuk Przemysław, Kruś Lech

Journal of Automation Mobile Robotics and Intelligent Systems

|

2020

|

Vol. 14, No. 2

50--62

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.