Journal ArticleDOI
A stock trading expert system based on the rule-base evidential reasoning using Level 2 Quotes
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TLDR
This paper proposes some new technical analysis indices bases on the Level 2 and Level 1 information which are used to develop a stock trading expert system and demonstrates the advantages of the proposed approach using the developed expert system optimized and tested on the real data from the Warsaw Stock Exchange.Abstract:
Generally, stock trading expert systems (STES) called also ''mechanical trading systems'' are based on the technical analysis, i.e., on methods for evaluating securities by analyzing statistics generated by the market activity, such as past prices and volumes (number of transactions during a unit of a timeframe). In other words, such STES are based on the Level 1 information. Nevertheless, currently the Level 2 information is available for the most of traders and can be successfully used to develop trading strategies especially for the day trading when a significant amount of transactions are made during one trading session. The Level 2 tools show in-depth information on a particular stock. Traders can see not only the ''best'' bid (buying) and ask (selling) orders, but the whole spectrum of buy and sell orders at different volumes and different prices. In this paper, we propose some new technical analysis indices bases on the Level 2 and Level 1 information which are used to develop a stock trading expert system. For this purpose we adapt a new method for the rule-base evidential reasoning which was presented and used in our recent paper for building the stock trading expert system based the Level 1 information. The advantages of the proposed approach are demonstrated using the developed expert system optimized and tested on the real data from the Warsaw Stock Exchange.read more
Citations
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Journal ArticleDOI
Stock market trading rule based on pattern recognition and technical analysis
TL;DR: The results show that the trading rule can beat the market, and the returns provided by the proposed trading rule are higher for the European than for the US index, which highlights the greater inefficiency of the European markets.
Journal ArticleDOI
A literature review of technical analysis on stock markets
TL;DR: In this article, the authors present an overview of the existing literature on technical analysis and discuss the potential knowledge gaps in this area, focusing on the analysis of stocks, and make suggestions for future research in technical analysis.
Journal ArticleDOI
An intelligent short term stock trading fuzzy system for assisting investors in portfolio management
TL;DR: The proposed short-term fuzzy system can be characterised as conservative, since it produces smaller losses during bear market periods and smaller gains during bull market periods compared with the buy and hold strategy.
Journal ArticleDOI
A Forex trading expert system based on a new approach to the rule-base evidential reasoning
TL;DR: A Forex trading expert system based on some new technical analysis indicators and a new approach to the rule-base evidential reasoning (RBER) (the synthesis of fuzzy logic and the Dempster–Shafer theory of evidence) is proposed.
Journal ArticleDOI
A non-parametric method to determine basic probability assignment for classification problems
TL;DR: A non-parametric method to obtain basic probability assignment (BPA) can be flexibly used in many engineering applications and compares well to the state-of-the-art algorithms.
References
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Book
A mathematical theory of evidence
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Rough sets
TL;DR: This approach seems to be of fundamental importance to artificial intelligence (AI) and cognitive sciences, especially in the areas of machine learning, knowledge acquisition, decision analysis, knowledge discovery from databases, expert systems, decision support systems, inductive reasoning, and pattern recognition.
Journal ArticleDOI
An Experiment in Linguistic Synthesis with a Fuzzy Logic Controller
E.H. Mamdani,S. Assilian +1 more
TL;DR: Fuzzy logic is used to convert heuristic control rules stated by a human operator into an automatic control strategy, and the control strategy set up linguistically proved to be far better than expected in its own right.
Book ChapterDOI
Upper and Lower Probabilities Induced by a Multivalued Mapping
TL;DR: A distinctive feature of the present approach is a rule for conditioning, or more generally, arule for combining sources of information, as discussed in Sects.
Upper and Lower Probabilities Induced by a Multivalued Mapping.
TL;DR: In this paper, a multivalued mapping from a space X to a space S carries a probability measure defined over subsets of X into a system of upper and lower probabilities over S. Some basic properties of such systems are explored in Sects. 1 and 2.