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    Wyświetlanie 1-8 z 8
    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
    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:
    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
    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
    Tytuł:
    Dynamika zmian wybranych indeksów w zależności od kontekstu wynikającego z analizy fundamentalnej
    Dynamics of changes in the selected foregin currency pairs based on the fundamental analysis context
    Autorzy:
    Juszczuk, Przemysław
    Dziczkowski, Grzegorz
    Powiązania:
    https://bibliotekanauki.pl/articles/585954.pdf
    Data publikacji:
    2015
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Analiza fundamentalna
    Dynamika zmian
    Rynek walutowy
    Foreign exchange
    Fundamental analysis
    Price dynamics
    Opis:
    Handel walutowy wymaga uwzględnienia wielu istotnych elementów, które są stosowane przy budowie automatycznych systemów handlowych. Większość istniejących systemów bazuje jednak tylko na podejściach opartych na analizie technicznej, natomiast czynnik związany z wydarzeniami ekonomicznymi jest w tym wypadku ignorowany. Celem artykułu jest wskazanie, iż sam fakt wystąpienia wydarzenia może istotnie wpływać na zmianę ceny instrumentu. Innymi słowy analiza fundamentalna jest tutaj kontekstem w odniesieniu do dynamiki zmian ceny dla poszczególnych instrumentów finansowych. W zależności od wybranej skali czasu kontekst analizy fundamentalnej może być pomijalny lub też mieć dominujący wpływ na wahania ceny danego instrumentu finansowego.
    Trading on the foreign exchange market is based on various important elements, which are used in the process of building trading systems. Most of the existing systems are based only on the technical analysis and the economic events are mostly omitted. The purpose of this article is to prove, that economic event itself can greatly impact on the price of the instrument. In the other words, fundamental analysis is the context of the dynamic price changes for different financial instruments. On the basis of the time window, context of the fundamental analysis may have very important impact on the price fluctuations over the time.
    Źródło:
    Studia Ekonomiczne; 2015, 216; 37-49
    2083-8611
    Pojawia się w:
    Studia Ekonomiczne
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Analiza kontekstu zachowań e-klientów w zależności od dynamiki zmian w nawigacji internetowej względem przeprowadzanych akcji marketingowych
    E-customers behaviors context analysis based on the dynamics of changes in web navigation due to marketing action performed
    Autorzy:
    Dziczkowski, Grzegorz
    Juszczuk, Przemysław
    Powiązania:
    https://bibliotekanauki.pl/articles/593212.pdf
    Data publikacji:
    2015
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Analiza kontekstu
    Analiza zachowań
    Web usage mining
    Context analysis
    Customer behavior analysis
    Opis:
    Handel internetowy pozwala na automatyzację wielu procesów marketingowych oraz na pozyskanie cennych danych o zachowaniu klientów i ich nawigacji na stronach internetowych. Przy użyciu technik eksploracji danych można uzyskać pełną analizę zachowań klienta oraz przeprowadzić segmentację populacji. Sam proces segmentacji populacji nie pozwala jednak na określenie celu klienta, gdyż proces nawigacji jest zmienny w czasie i zależny od zewnętrznych czynników. Określenie celu i zrozumienie potrzeby klienta wymusza wprowadzenie analizy kontekstu zachowań e-klienta. Artykuł przedstawia analizę zachowań e-klientów, segmentację populacji oraz analizę kontekstu zachowań względem przeprowadzanych akcji marketingowych.
    E-commerce allows to automate marketing processes and to gain valuable data about customer behavior and their navigation on the website. Using data mining techniques, we can get a complete analysis of customer behavior and to segment the po-pulation. However, population segmentation process does not identify the customer, because the navigation process is unpredictable over time and depends on external factors. This article presents an analysis of the behavior of e-customer, segmentation of population and analysis of the context of population behavior towards marketing actions.
    Źródło:
    Studia Ekonomiczne; 2015, 216; 26-36
    2083-8611
    Pojawia się w:
    Studia Ekonomiczne
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Trade-Off Guided Search for Approximate Pareto Optimal Portfolios
    Autorzy:
    Juszczuk, Przemysław
    Kaliszewski, Ignacy
    Miroforidis, Janusz
    Powiązania:
    https://bibliotekanauki.pl/articles/578497.pdf
    Data publikacji:
    2017
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Pareto front approximation
    Portfolio optimization
    Aproksymacja frontu Pareto
    Optymalizacja portfela
    Opis:
    In this paper, we attempt to represent the Pareto Front in the Markowitz mean-variance model by two-sided discrete approximations. We discuss the possibility of using such approximations for portfolio selection. The potential of the approach is illustrated by the results of preliminary numerical experiments.
    Źródło:
    Multiple Criteria Decision Making; 2017, 12; 49-59
    2084-1531
    Pojawia się w:
    Multiple Criteria Decision Making
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    A condition for asset redundancy in the mean-variance model of portfolio investment
    Autorzy:
    Juszczuk, Przemysław
    Kaliszewski, Ignacy
    Miroforidis, Janusz
    Podkopaev, Dmitry
    Powiązania:
    https://bibliotekanauki.pl/articles/2050025.pdf
    Data publikacji:
    2020
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    modern portfolio theory
    Markowitz model
    meanvariance portfolio optimization
    asset redundancy
    problem size
    Opis:
    The mean-variance approach to portfolio investment exploits the fact that the diversification of investments by combination of different assets in one portfolio allows for reducing the financial risks significantly. The mean-variance model is formulated as a bi-objective optimization problem with linear (expected return) and quadratic (variance) objective functions. Given a set of available assets, the investor searches for a portfolio yielding the most preferred combination of these objectives. Naturally, the search is limited to the set of non-dominated combinations, referred to as the Pareto front. Due to the globalization of financial markets, investors nowadays have access to large numbers of assets. We examine the possibility of reducing the problem size by identifying those assets, whose removal does not affect the resulting Pareto front, thereby not deteriorating the quality of the solution from the investor’s perspective. We found a sufficient condition for asset redundancy, which can be verified before solving the problem. This condition is based on the possibility of reallocating the share of one asset in a portfolio to another asset without deteriorating the objective function values. We also proposed a parametric relaxation of this condition, making it possible to removemore assets for a price of a negligible deterioration of the Pareto front. Computational experiments conducted on five real-world problems have demonstrated that the problem size can be reduced significantly using the proposed approach.
    Źródło:
    Control and Cybernetics; 2020, 49, 2; 179-191
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-8 z 8

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