- Tytuł:
- Fuzzy trading system on the forex market for deriving the portfolio of instruments
- Autorzy:
-
Juszczuk, Przemysław
Kruś, Lech - Powiązania:
- https://bibliotekanauki.pl/articles/31342748.pdf
- Data publikacji:
- 2022
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
trading system
forex market
fuzzy sets
multicriteria optimization - Opis:
- 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.
- Źródło:
-
Control and Cybernetics; 2022, 51, 4; 467-486
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł