MCDM'17 - paper no. 5

 

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SUPPORTING MULTICRITERIA FUZZY DECISIONS ON THE FOREX MARKET

Przemysław Juszczuk, Lech Kruś

Abstract:

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 satis ed 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 efficiency of a given currency pair is estimated using values from the range <0, 1> and is de ned by the membership function for each technical indicator. The values calculated for different indicators are treated as criteria. The efficiency 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 signi cantly increasing the computation time.

Keywords:

foreign exchange, fuzzy sets, decision support

Reference index:

Przemysław Juszczuk, Lech Kruś, (2017), SUPPORTING MULTICRITERIA FUZZY DECISIONS ON THE FOREX MARKET, Multiple Criteria Decision Making (12), pp. 60-74

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Scopus citations in 1 paper(s):
  1. Juszczuk, P., & Kruś, L. (2019). Selecting the efficient market indicators in the trading system on the forex market doi:10.1007/978-3-319-99993-7_12

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