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A Fuzzy Multicriteria Approach for the Trading Systems on the Forex Market

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Juszczuk P., Kruś L.
Multiple Criteria Decision Making
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2019
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vol. 14
29-43
EN
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.
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Supporting Multicriteria Fuzzy Decisions on the Forex Market

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Juszczuk P., Kruś L.
Multiple Criteria Decision Making
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2017
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vol. 12
60-74
EN
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.
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Trade-Off Guided Search for Approximate Pareto Optimal Portfolios

81%
Juszczuk P., Kaliszewski I., Miroforidis J.
Multiple Criteria Decision Making
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2017
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vol. 12
49-59
EN
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.
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