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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.
2
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ANALIZA GRY MONETARNO - FISKALNEJ NA PRZYKŁADZIE GOSPODARKI POLSKIEJ

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Kruś L., Woroniecka-Leciejewicz I.
Metody Ilościowe w Badaniach Ekonomicznych
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2016
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vol. 17
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issue 2
54-64
PL
Artykuł przedstawia wyniki analizy policy mix z wykorzystaniem niekooperacyjnej gry między władzami fiskalnymi i monetarnymi oraz modelu makroekonomicznego opartego na koncepcji nowej syntezy neoklasycznej. Dokonano estymacji modelu dla Polski w latach 2000-2014. Przeprowadzono szereg symulacji z wykorzystaniem modelu oraz systemu komputerowego wyznaczającego wypłaty gry. Przeanalizowano alternatywne policies mix w stosunku do realizowanych w przeszłości polityk: monetarnej i fiskalnej. Wyznaczono i przeanalizowano optymalne strategie odpowiedzi oraz strategie równowagi Nasha.
EN
Analysis of the policy mix is presented using a noncooperative game and a macroeconomic model formulated on the basis of the New Neoclassical Synthesis concept. The game describes interactions of the fiscal and monetary authorities. The model has been estimated for the Poland in 2000–2014. Simulations have been made using the model and the constructed computer based system calculating payoffs of the game. The fiscal and monetary policies alternative to the historical ones are shown and analyzed. The best response strategies and the Nash equilibria are derived and discussed.
3
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Supporting Multicriteria Fuzzy Decisions on the Forex Market

100%
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.
4

Analiza gry monetarno-fiskalnej z wykorzystaniem makroekonomicznego modelu dla Polski

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Kruś L., Woroniecka-Leciejewicz I.
Przegląd Statystyczny
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2017
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vol. 64
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issue 3
285-304
5
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DWUKRYTERIALNA OCENA NASTĘPSTW POLITYKI OGRANICZENIA EMISJI CO2 DLA ROZWOJU GOSPODARCZEGO POLSKI

100%
Gadomski J., Kruś L.
Metody Ilościowe w Badaniach Ekonomicznych
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2016
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vol. 17
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issue 2
26-35
PL
Analizowane są skutki ograniczenia emisji CO2 dla rozwoju gospodarczego Polski. Narzędziem analizy jest model składający się z czterech sektorów produkujących odpowiednio: energię, nieenergetyczne nakłady pośrednie, dobra konsumpcyjne, dobra inwestycyjne, jak również z sektorów konsumpcji oraz wymiany z zagranicą. W każdym z sektorów rozpatrywane są różne technologie ze względu na ich efektywność ekonomiczną oraz emisyjność. Uwzględniono handel pozwoleniami i handel zagraniczny. Optymalizacja uwzględnia dwa sprzeczne cele: maksymalizację konsumpcji oraz minimalizację emisji CO2.
EN
Paper presents the bicriteria analysis of the impact of the limits of the allowances for CO2 emissions on economic growth of Poland. The long-term model is presented, which consists of four production sectors, which produce: energy, intermediary goods, consumer goods and investment goods, respectively, as well as the consumption sector and the foreign trade sector. In each production sector different technologies are considered. Trade in goods and the emission allowances are accounted for. Contradictory goals are considered: the consumption maximization, and minimization of gaseous emissions.
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