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    Wyświetlanie 1-3 z 3
    Tytuł:
    A Fuzzy Multicriteria Approach for the Trading Systems on the Forex Market
    Autorzy:
    Juszczuk, Przemysław
    Kruś, Lech
    Powiązania:
    https://bibliotekanauki.pl/articles/578475.pdf
    Data publikacji:
    2019
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Trading
    Wielokryterialne podejmowanie decyzji
    Zbiory rozmyte
    Fuzzy sets
    Multicriteria decision making
    Opis:
    The paper relates to the trading systems supporting traders ma- king decision on the forex market. Typical trading systems using tech- nical analysis generate a buy or sell signal when the technical indicator crosses a given oversell or overbought levels. The paper extends the approach in which the above strict crisp conditions are replaced by fuzzy relations. The indicators are treated not independently as it is in the typical systems but jointly. Currency pairs are compared in the muliticriteria space in which each criterion is dened by a membership function referring to a given indicator. New formulations of the mem- bership functions for dierent indicators are proposed. General ideas of the algorithm generating non-dominated alternatives in the multi- criteria space are presented. The algorithm has been implemented in an experimental system. Computational results for dierent time win- dows using real-world data from the forex market are presented and discussed.
    Źródło:
    Multiple Criteria Decision Making; 2019, 14; 29-43
    2084-1531
    Pojawia się w:
    Multiple Criteria Decision Making
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Remarks on Designing Iterative Multicriteria Procurement Auctions
    Autorzy:
    Kruś, Lech
    Toczyłowski, Eugeniusz
    Powiązania:
    https://bibliotekanauki.pl/articles/578522.pdf
    Data publikacji:
    2014
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Aukcje wielokryterialne
    Mechanizmy decyzyjne
    Systemy wieloagnetowe
    Wielokryterialna optymalizacja
    Multicriteria auctions,
    Incentive compatible decision mechanisms
    Multiagent systems
    Multicriteria optimization
    Opis:
    In this paper some mechanisms of the multicriteria procurement auctions are discussed, including the elements of the decision support to the auction organizer, as well as to the bidders. The auction mechanisms are considered in the context of attaining incentive compatible decisions. Using domination relations formulated in the criteria space, different rules for the improvement of offers in successive rounds of the auction process are analyzed. The general discussion is illustrated by an example of an iterative multicriteria closed-bidding auction conducted with the use of a multi-agent computer-based system. The system supports submission of offers, multicriteria analysis performed by the auction organizer, simulation, and analysis of the competing bidders' behavior. Experimental results of sessions conducted with the use of the system are analyzed.
    Źródło:
    Multiple Criteria Decision Making; 2014, 9; 32-47
    2084-1531
    Pojawia się w:
    Multiple Criteria Decision Making
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Supporting Multicriteria Fuzzy Decisions on the Forex Market
    Autorzy:
    Juszczuk, Przemysław
    Kruś, Lech
    Powiązania:
    https://bibliotekanauki.pl/articles/578572.pdf
    Data publikacji:
    2017
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Decision support
    Foreign exchange
    Fuzzy sets
    Obrót dewizowy
    Wspomaganie decyzji
    Zbiory rozmyte
    Opis:
    This paper deals with decisions made by a decision maker using technical analysis on the Forex market. For a number of currency pairs on the market the decision maker obtains buy or sell signals from transaction systems using technical analysis indicators. The signal is generated only when the assumed conditions are satised for a given indicator. The information characterizing every market situation and presented to the decision maker is binary: he either obtains the signal or does not. In this paper a fuzzy multicriteria approach is proposed to extend and valuate information for the analysis of the market situation. The traditional approach with binary characterization of the market situations, referred to as a crisp approach, is replaced by a fuzzy approach, in which the strict conditions for which the crisp signal was generated are fuzzy. The eciency of a given currency pair is estimated using values from the range <0,1> and is dened by the membership function for each technical indicator. The values calculated for dierent indicators are treated as criteria. The eciency of a given currency pair can be analyzed jointly for several indicators. The currency pairs are compared in the multicriteria space in which domination relations, describing preferences of the decision maker, are introduced. An algorithm is proposed which generates Pareto-optimal variants of currency pairs presented to the decision maker. The method proposed allows to extend the number of analyzed currency pairs, without signicantly increasing the computation time.
    Źródło:
    Multiple Criteria Decision Making; 2017, 12; 60-74
    2084-1531
    Pojawia się w:
    Multiple Criteria Decision Making
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-3 z 3

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