The KD-Based Neuro Fuzzy Trading Strategy
نویسنده
چکیده
In this paper, a new trading decision strategy is proposed. This strategy combines the following concepts: KD-based rules, fuzzy logic inference mechanism and neural network learning ability. We used 115 stocks from different industries in Taiwan and their trading data during the period of Jan. 4, 1989 to June 30, 2000 as our experimental data. The data from Jan. 4, 1989 to Dec. 31, 1998 were used to train our decision rules and the data from Jan. 4, 1999 to June 30, 2000 were used to test the validity of our strategy, as compared with the buy and hold strategy and the KD trading system. The experimental results indicate that our strategy is significantly better than the other two strategies.
منابع مشابه
A Trading Decision Support System Based on Neuro-Fuzzy Technique: Evidence from Asian Stock Market
This paper aims to apply the neuro-fuzzy technique to refine the Stochastics technical trading rules to forecast the Asian stock market. Essentially in this hybrid technique, fuzzy logic plays the role to formulate the relationship among the Stochastics indicators and stock price changes by using knowledge base. Neural networking is used to tune the formulated knowledge base based on historical...
متن کاملNeuro-Fuzzy Decision-Making in Foreign Exchange Trading and Other Applications
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 al...
متن کاملAdaptive Neuro-Fuzzy Inference System for Financial Trading using Intraday Seasonality Observation Model
The prediction of financial time series is a very complicated process. If the efficient market hypothesis holds, then the predictability of most financial time series would be a rather controversial issue, due to the fact that the current price contains already all available information in the market. This paper extends the Adaptive Neuro Fuzzy Inference System for High Frequency Trading which ...
متن کاملNeuro-fuzzy Sliding Mode Controller Based on a Brushless Doubly Fed Induction Generator
The combination of neural networks and fuzzy controllers is considered as the most efficient approach for different functions approximation, and indicates their ability to control nonlinear dynamical systems. This paper presents a hybrid control strategy called Neuro-Fuzzy Sliding Mode Control (NFSMC) based on the Brushless Doubly fed Induction Generator (BDFIG). This replaces the sliding surfa...
متن کاملEXPECTED PAYOFF OF TRADING STRATEGIES INVOLVING EUROPEAN OPTIONS FOR FUZZY FINANCIAL MARKET
Uncertainty inherent in the financial market was usually consid- ered to be random. However, randomness is only one special type of uncer- tainty and appropriate when describing objective information. For describing subjective information it is preferred to assume that uncertainty is fuzzy. This paper defines the expected payoof trading strategies in a fuzzy financial market within the framewor...
متن کامل