Szczegóły publikacji
Opis bibliograficzny
A system of trading in the foreign exchange market based on multi-criteria optimization under Belief-Plausibility uncertainty / Krzysztof Kaczmarek, Pavel Sevastjanov, Ludmila Dymova, Adam Kulawik, Leszek RUTKOWSKI // Applied Soft Computing ; ISSN 1568-4946 . — 2025 — vol. 169 art. no. 112573, s. 1–19. — Bibliogr. s. 18–19, Abstr. — Publikacja dostępna online od: 2024-12-03. — L. Rutkowski – dod. afiliacja: Systems Research Institute of the Polish Academy of Sciences, Warsaw, Poland
Autorzy (5)
- Kaczmarek Krzysztof
- Sevastjanov Pavel
- Dymova Ludmila
- Kulawik Adam
- AGHRutkowski Leszek
Słowa kluczowe
Dane bibliometryczne
| ID BaDAP | 167438 |
|---|---|
| Data dodania do BaDAP | 2026-05-06 |
| Tekst źródłowy | URL |
| DOI | 10.1016/j.asoc.2024.112573 |
| Rok publikacji | 2025 |
| Typ publikacji | artykuł w czasopiśmie |
| Otwarty dostęp |  |
| Czasopismo/seria | Applied Soft Computing |
Abstract
Anew Forex multi-criteria trading model based on the Belief-Plausibility ( Bel - Pl ) extension is developed and validated. The Bel - Pl approach is, in fact, a meta-theory in relation to the classical theory of fuzzy sets FST and the intuitionistic theory of fuzzy sets (IFST). This allows us to use more available information about the simulated process than these theories. The developed model consists of two interconnected, but different parts combined in the automated trading system (ATS). The first part of the Forex trading model is responsible for generating multi-indicator trading signals based on a set of new proposed technical analysis indicators that have been extended in the framework of the Bel - Pl approach. The second part of the model is a multiple-criteria Bel - Pl extended hierarchical trading model estimation. These two parts of the model are combined into the developed ATS, which implements the appropriate optimization procedure at the optimization stages and the simulation of the trading process at the testing or real trading stages. The advantages of the developed model and ATS were shown by comparing their results with the results obtained using fuzzy multi-criteria models and a single-criterion model. All studies were conducted over the past two years (2022-2023) for the H1 and H4 timeframes and three currency pairs EURUSD, USDJPY and GBPUSD.
