Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2015 | 5 | 1367--1376
Tytuł artykułu

Fuzzy Logic in the Multi-Agent Financial Decision Support System

Warianty tytułu
Języki publikacji
The article presents the application of a fuzzy logic in building the trading agents of the a-Trader system. The system supports investment decisions on the FOREX market. The first part of the article contains a discussion related to the use of fuzzy logic as an agents' knowledge representation. Next, the algorithms of the selected fuzzy logic buy-sell decision agents are presented. In the last part of the article the agent performance is evaluated on real FOREX data.(original abstract)
Słowa kluczowe
Opis fizyczny
  • Wrocław University of Economics, Poland
  • Wrocław University of Economics, Poland
  • Wrocław University of Economics, Poland
  • H. C. Aladag, U. Yolco and E. Egrioglu, "A new time invariant fuzzy time series forecasting model based on particle swarm optimization", Applied Soft Computing, 12 (10), 2012, pp. 3291-3299.
  • M. Aloud, E.P.K. Tsang and R. Olsen, "Modelling the FX Market Traders' Behaviour: An Agent-based Approach", in B, Simulation in Computational Finance and Economics: Tools and Emerging Applications, . Alexandrova-Kabadjova, S. Martinez-Jaramillo, A. L. Garcia-Almanza and E. Tsang (eds.), IGI Global, 2012, pp. 202-228.
  • B. C. Arabacioglu, "Using fuzzy inference system for architectural space analysis", Applied Soft Computing, 10 (3), 2010, pp. 926-937. doi:10.1016/j.asoc.2009.10.011.
  • R.P. Barbosa and O. Belo, "Multi-Agent Forex Trading System", in: Agent and Multi-agent Technology for Internet and Enterprise Systems, Studies in Computational Intelligence, Volume 289, 2010, pp. 91-118.
  • J. Bollinger, Bollinger on Bollinger Bands, McGraw Hill, 2001.
  • O. Badawy, O. and Almotwaly, A., "Combining neural network knowledge in a mobile collaborating multi-agent system", Electrical, Electronic and Computer Engineering, ICEEC '04. 2004, pp. 325,328, 2004, doi: 10.1109/ICEEC.2004.1374457
  • L. Chan, A. and Wk Wong, "Automated Trading with Genetic- Algorithm Neural-Network Risk Cybernetics: An Application on FX Markets", Finamatrix, 2011, pp.1-28.
  • M. Y.Chen, "A high-order fuzzy time series forecasting model for internet stock trading". Future Generation Computer Systems, 37, 2014, pp. 461-467,
  • W.M. Cheung and U. Kaymak, "A fuzzy logic based trading system", in: Proceedings of the Third European Symposium on Nature inspired Smart Information Systems, St. Julians, Malta. 2007.
  • M. Dempster and C. Jones, "A Real Time Adaptive Trading System using Genetic Programming", Quantitative Finance, 1, 2001, pp. 397-413. doi: 10.1088/1469-7688/1/4/301.
  • J. Ferber, Multi-Agent Systems, Addison-Wesley Longman 1999.
  • R. Fikes and T. Kehler., "The role of frame-based representation in reasoning". Commun. ACM 28(9) 1985, pp. 904-920. doi:10.1145/4284.4285.
  • S. Franklin and F.G. Patterson, "The LIDA architecture: Adding new modes of learning to an intelligent, autonomous, software agent". in: Proc. of the Int. Conf. on Integrated Design and Process Technology, San Diego, CA: Society for Design and Process Science, 2006.
  • J. B. Glattfelder, A. Dupuis and R. Olsen, "Patterns in High- Frequency FX Data: Discovery of 12 Empirical Scaling Laws", Quantitative Finance, Volume 11 (4), 2011, pp. 599-614.
  • M. Hernes M. and N.T. Nguyen, "Deriving Consensus for Hierarchical Incomplete Ordered Partitions and Coverings", Journal of Universal Computer Science 13(2) 2007, pp. 317-328.
  • M. Hernes M. and J. Sobieska-Karpińska , "Application of the consensus method in a multiagent financial decision support system", Information Systems and e-Business Management, Springer Berlin Heidelberg 2015, doi: 10.1007/s10257-015-0280-9.
  • M. A. Kadhim, A. Alam, M. and K. Harleen, "A Multi-intelligent Agent Architecture for Knowledge Extraction: Novel Approaches for Automatic Production Rules Extraction", International Journal of Multimedia & Ubiquitous Engineering, Vol. 9 Issue 2, 2014, p.95.
  • O. Kazar, H. Ghodbane, M. Moussaoui and A. Belkacemi, "A Multi- Agent Approach Based on Fuzzy Logic For a Robot Manipulator" JDCTA 3(3), 2009, pp. 86-90.
  • R. Karjalainen, "Using Genetic Algorithms to Find Technical Trading Rules", Journ. of Financial Econ., 51, 1999, pp. 245-271.
  • C. D. Kirkpatric and J. Dahlquist, Technical Analysis: The Complete Resource for Financial Market Technicians, Financial Times Press, 2006.
  • J. Korczak and P. Lipinski, "Systemy agentowe we wspomaganiu decyzji na rynku papierów wartościowych", in Rozwój informatycznych systemów wieloagentowych w środowiskach społeczno-gospodarczych, ed. S. Stanek et al., Placet, 2008, pp. 289- 301.
  • J. Korczak, M. Bac, K. Drelczuk and A. Fafuła, "A-Trader - Consulting Agent Platform for Stock Exchange Gamblers", in Proceedings of Federated Conference Computer Science and Information Systems (FedCSIS), Wrocław, 2012, pp.963-968.
  • J. Korczak, M. Hernes and M. Bac, "Risk avoiding strategy in multiagent trading system", in Proceedings of Federated Conference Computer Science and Information Systems (FedCSIS), Kraków, 2013.
  • J. Korczak, M. Hernes and M. Bac, "Performance evaluation of decision-making agents' in the multi-agent system", in Proceedings of Federated Conference Computer Science and Information Systems (FedCSIS), Warszawa, 2014, pp. 1171 - 1180. doi: 10.15439/2014F188.
  • B. LeBaron, "Active and Passive Learning in Agent-based Financial Markets", Eastern Economic Journal, vol. 37, 2011, pp. 35-43.
  • J. Lagorse, M.G. Simoes, and A. Miraoui, "A Multiagent Fuzzy- Logic-Based Energy Management of Hybrid Systems," Industry Applications, IEEE Transactions on, vol.45, no.6, pp.2123,2129, Nov.-dec. 2009, doi: 10.1109/TIA.2009.2031786.
  • C. Lento, "A Combined Signal Approach to Technical Analysis on the S&P 500", Journal of Business & Economics Research 6 (8), 2008, pp. 41-51.
  • S. Martinez-Jaramillo and E.P.K. Tsang, "An Heterogeneous, Endogenous and Co-evolutionary GP-based Financial Market", IEEE Transactions on Evolutionary Computation, Vol.13, No.1, 2009, pp.33-55.
  • N. T. Nguyen, "Using Consensus Methodology in Processing Inconsistency of Knowledge", in Advances in Web Intelligence and Data Mining, series Studies in Computational Intelligence, M. Last et al. (Eds): Springer-Verlag, 2006, pp. 161-170.
  • V. Novák, I. Perfilieva and J. Močkoř, "Mathematical principles of fuzzy logic", Dordrecht, Kluwer Academic, 1999.
  • D. A. Oyemade, O. Godspower, O. Ekuobase and F. O. Chete, "Fuzzy Logic Expert Advisor Topology for Foreign Exchange Market", Proceedings of the International Conference on Software Engineering and Intelligent Systems, Ota, Nigeria, 2010.
  • I. Palit, S. Phelps and W. L. Ng, "Can a Zero-Intelligence Plus Model Explain the Stylized Facts of Financial Time Series Data?", in Proceedings of the Eleventh International Conference on Autonomous Agents and Multi-Agent Systems (AAMAS) - Volume 2. Valencia, Spain: International Foundation for Autonomous Agents and Multiagent Systems, 2012, pp. 653-660.
  • M. Piunti and A. Ricci, "Cognitive Use of Artifacts: Exploiting Relevant Information Residing in MAS Environments", in Knowledge Representation for Agents and Multi-Agent Systems, J. Ch. Meyer, J. Broersen (eds.),Lecture Notes in Computer Science 5605, Springer Berlin Heidelberg, 2009 pp. 114-129, doi: 10.1007/978-3-642-05301-6_8.
  • J. Ropero, A. Gómez, A. Carrasco and C. León, "A Fuzzy Logic intelligent agent for Information Extraction: Introducing a new Fuzzy Logic-based term weighting scheme", Expert Systems with Applications, Volume 39, Issue 4, 2012, pp. 4567-4581,
  • S. J. Russell and P. Norvig. Artificial Intelligence: A Modern Approach (2 ed.), Pearson Education, 2003.
  • P. Singh and B. Borah, "Forecasting stock index price based on Mfactors fuzzy time series and particle swarm optimization", International Journal of Approximate Reasoning, 55(3), 2014, pp. 812-833,.
  • S.Srinivasan, D. Kumar and V. Jaglan, "Agents and their knowledge representations", Ubiquitous Computing and Communication Journal, 5(1), 2010, pp. 14-22, doi:
  • X.L.Chen, L. M. Li, Y.Z. Wang, W. Ning and X. Ye, "ERPBAM: A Model for Structure and Reasoning of Agent Based on Entity- Relation-Problem Knowledge Representation System," Web Intelligence and Intelligent Agent Technologies, 2009. WI-IAT '09. IEEE/WIC/ACM International Joint Conferences, vol.3, 2009, pp. 365,368.doi: 10.1109/WI-IAT.2009.302
  • X.F. Zhang, G.J. Wang and G.W. Meng, "Theory of Truth Degree Based on the Interval Interpretation of First-order Fuzzy Predicate Logic Formulas and Its Application", Fuzzy Systems and Mathematics, 2006,20(2), pp. 8-12.
  • X.Z. Wang and S.F. An, "Research on learning weights of fuzzy production rules based on maximum fuzzy entropy", Journal of Computer Research and Development, 43(4), 2006, pp. 673-678.
  • G.J. Zhu and Y.M. Xia, "Research and practice of frame knowledge representation", Journal of Yunnan University (Natural Sciences Edition), 28(S1), 2006, pp. 154-157.
  • Z. Zeng, "Construction of knowledge service system based on semantic web", Journal of The China Society For Scientific and Technical Information, 24(3), 2005, pp. 336-340.
  • J. Martin and J.J. Odell, Object oriented methods: the foundations, Englewood Cliffs, Prentice Hall, 1994.
  • L. Valiant, Probably Approximately Correct: Nature's Algorithms for Learning and Prospering in a Complex World, New York: Basic Books, 2013.
  • S.P. Li, Q.W. Yin, Y.J. Hu et al, "Overview of researches on ontology" Journal of Computer Research and Development,41(7), 2004, pp. 1041-1052.
  • L.A. Zadeh, Fuzzy Sets, Fuzzy Logic, Fuzzy Systems, World Scientific Press, 1996.
  • M. Żytniewski, R. Kowal, A. Sołtysik, "The Outcomes of the Research in Areas of Application and Impact of Software Agents Societies to Organizations so far. Examples of Implementation in Polish Companies", [in] Annals of Computer Science and Information Systems, Proceedings of Federated Conference Computer Science and Information Systems (FedCSIS), Kraków, 2013 pp. 1165 - 1168.
Typ dokumentu
Identyfikator YADDA

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.