Neuro-Fuzzy Decision-Making in Foreign Exchange Trading and Other Applications
نویسندگان
چکیده
Neuro-fuzzy (NF) decision-making technology is designed and implemented to obtain the optimal daily currency trading rule. We find that a non-linear artificial neural network (ANN) exchange rate microstructure model combined with a fuzzy logic controller (FLC) generates a set of trading strategies that, on average, earn a higher rate of return compared to the simple buy-and-hold strategy. We also find that after including transaction costs, the gains from the NF technology do not decline and increase on some periods. Finally, we successfully apply the NF model to the problem of determining the FX market’s sentiment as reflected by the chartists’ trading signals during periods of strong depreciation.
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