Neuro Fuzzy Decision Making in Foreign Exchange Trading and Other Applications英文电子书.pdf

Neuro-Fuzzy Decision-Making in Foreign Exchange Trading and Other Applications by Nikola Gradojevic (UBC Economics Department) Jing Yang (Bank of Canada) Toni Gravelle (Bank of Canada) Abstract 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 also find that after including transaction costs, the gains from the NF technology do not decline and increase on some periods. Finally, we successfully apply the NF model to the problem of determining the FX market’s sentiment as reflected by the chartists’ trading signals during periods of strong depreciation. 1. INTRODUCTION Advanced modeling techniques such as artificial neural networks (ANN), fuzzy logic controllers (FLC), and genetic algorithms (GA) can be applied to a vast variety of applications in finance and economics. Through hybridization of these techniques, more complex problems can be addressed. This paper combines two of the most popular concepts: ANN and FLC. There has been a growing literature on FLCs and their use in financial economics. Many of these examples, such as ones for portfolio management and stock market trading, c