Paper Info
Title
An Improved Fuzzy Rule-Based Automated Trading Agent
Abstract
In this paper an improved Fuzzy Rule-Based Trading Agent is presented. The proposal consists in adding machine-learning-based methods to improve the overall performance of an automated agent that trades in futures markets. The modified Fuzzy Rule-Based Trading Agent has to decide whether to buy or sell goods, based on the spot and futures time series, gaining a profit from the price speculation. The proposal consists first in changing the membership functions of the fuzzy inference model (gaussian and sigmoidal, instead of triangular and trapezoidal). Then using the NFAR (Neuro-Fuzzy Autorregresive) model the relevant lags of the time series are detected, and finally a fuzzy inference system (Self-Organizing Neuro-Fuzzy Inference System) is implemented to aid the decision making process of the agent. Experimental results demonstrate that with the addition of these techniques, the improved agent considerably outperforms the original one.
Year
DOI
Venue
2010
10.1109/SCCC.2010.33
SCCC
Keywords
Field
DocType
improved fuzzy rule-based automated,improved fuzzy rule-based trading,futures time series,neuro-fuzzy autorregresive,fuzzy inference system,futures market,self-organizing neuro-fuzzy inference system,improved agent,trading agent,automated agent,modified fuzzy rule-based trading,fuzzy inference model,time series analysis,forecasting,learning artificial intelligence,decision making process,neuro fuzzy,membership function,self organization,electronic commerce,frequency modulation,profitability,machine learning,time series,knowledge based systems,mathematical model
Speculation,Time series,Data mining,Futures contract,Computer science,Knowledge-based systems,Artificial intelligence,Adaptive neuro fuzzy inference system,Membership function,Machine learning,Algorithmic trading,Fuzzy rule
Conference
Volume
Issue
ISSN
20
2
1220-1766
Citations 
PageRank 
References 
0
0.34
6
Authors
3
Name
Order
Citations
PageRank
Hector Allende-Cid141.49
Enrique Canessa2339.82
Ariel Quezada321.92