- Tytuł:
- Supporting decisions on the Forex market using fuzzy approach
- Autorzy:
-
Juszczuk, Przemysław
Kruś, Lech - Powiązania:
- https://bibliotekanauki.pl/articles/384399.pdf
- Data publikacji:
- 2020
- Wydawca:
- Sieć Badawcza Łukasiewicz - Przemysłowy Instytut Automatyki i Pomiarów
- Tematy:
-
trading system
Forex
fuzzy membership function
multicriteria analysis - Opis:
- 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.
- Źródło:
-
Journal of Automation Mobile Robotics and Intelligent Systems; 2020, 14, 2; 50-62
1897-8649
2080-2145 - Pojawia się w:
- Journal of Automation Mobile Robotics and Intelligent Systems
- Dostawca treści:
- Biblioteka Nauki
Artykuł