Opracowanie systemu wspomagania decyzji kupna i sprzedaży papierów wartościowych optymalizowanego wielokryterialnie

• Autorzy: Paweł Bartosiewicz

Warianty tytułu

The Development of the Stock Trading Decision Support System with Multicriteria Optimization

• Języki publikacji: PL

Abstrakty

Przedstawiono budowę systemu wspomagania decyzji opartego na syntezie logiki rozmytej i teorii Dempstera-Shafera w zastosowaniu do obrotu papierami wartościowymi na rynku kapitałowym. Wielką zaletą systemu jest możliwość optymalizacji na danych historycznych w celu dostosowania jego parametrów sterujących do charakterystyki rynku. Proces optymalizacji wzbogacono o możliwość maksymalizowania kilku kryteriów jednocześnie poszukując najlepszego wariantu kompromisowego (optymalizacja wielokryterialna). W wyniku takiego podejścia zoptymalizowany system utrzymuje stabilność w długich okresach czasu. Założenia zostały potwierdzone pozytywnymi wynikami testów na danych historycznych kontraktu terminowego na indeks WIG20 Giełdy Papierów Wartościowych w Warszawie.(fragment tekstu)

EN

During last two decades powerful mathematical and computer methods have been used to find a way to predict stock prices accurately, but they have produced less than successful results in practice. It results from excluding of well-known rules of the technical analysis from decision process. Although, the wisdom accumulated by generations of traders can be an adequate base for building optimal fuzzy expert systems for stock trading. Based on this assumption a new approach to the synthesis of the fuzzy logic and Dempster-Shafer theory was presented. A possibility of the optimization on historical data to adapting to characteristics of the market is a great advantage of the presented system. The multicriteria optimization was applied in order to get the stability of the system in the long term. The advantages of this approach are demonstrated using the developed stock trading decision support system optimized and tested on the real data from Warsaw Stock Exchange.(original abstract)

Słowa kluczowe

PL

Optymalizacja wielokryterialna; Ceny akcji; Systemy wspomagania decyzji; Sztuczna inteligencja; Teoria Demstera-Shafera

EN

Multiple criteria optimization; Shares prices; Decision Support Systems (DSS); Artificial intelligence; Dempster-Shafer theory

• Czasopismo: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia
• Rocznik: 2010
• Numer: nr 29
• Strony: 291--304

Twórcy

autor

Paweł Bartosiewicz

• Politechnika Częstochowska

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