Szczegóły publikacji
Opis bibliograficzny
Can volatility-dependent irregular forms of fuzzy local criteria increase the effectiveness of Forex trading models / Krzysztof Kaczmarek, Ludmila Dymova, Pavel Sevastjanov, Leszek RUTKOWSKI // Expert Systems with Applications ; ISSN 0957-4174 . — 2025 — vol. 294 art. no. 128819, s. 1–17. — Bibliogr. s. 17, Abstr. — Publikacja dostępna online od: 2025-06-28. — L. Rutkowski - dod. afiliacja: Systems Research Institute of the Polish Academy of Sciences, Warsaw
Autorzy (4)
- Kaczmarek Krzysztof
- Dymova Ludmila
- Sevastjanov Pavel
- AGHRutkowski Leszek
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 166301 |
|---|---|
| Data dodania do BaDAP | 2026-02-27 |
| Tekst źródłowy | URL |
| DOI | 10.1016/j.eswa.2025.128819 |
| Rok publikacji | 2025 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Czasopismo/seria | Expert Systems with Applications |
Abstract
An important problem with Forex trading modeling is that practitioners often base their decisions on changes in volatility (Vlt), using verbal evaluations such as High and Low Vlt. A new method for solving this problem is proposed, based on the synthesis of the mathematical tools of intuitionistic fuzzy sets and the Dempster-Shafer theory of evidence, to obtain the real averaged estimations of Low and High Vlt, called AVEL and AVEH, respectively. It is shown how verbal evaluations of Vlt can affect membership functions used as local criteria in trading models. Therefore a new approach was proposed that allows local criteria to be represented by pairs of piecewise linear functions that meet the conditions of High and Low Vlt. Such local criteria are called ”irregular local criteria”. A general real estimate of such a local criterion is introduced in the form of a weighted sum of the values of these functions using AVEL and AVEH as the corresponding weights. As part of this approach, three new multi-criteria Forex trading models based on different aggregation methods have been developed. It is shown that they provided 2–3 times higher profits than those obtained using the fuzzy multi-criteria model independent of volatility and the single-criteria model that were tested earlier in our papers. The article is addressed not only to scientists, but also to practitioners, especially those who use the MetaTrader 4 trading platform.
