Improving risk-adjusted performance in high frequency trading using interval type-2 fuzzy logic
نویسندگان
چکیده
منابع مشابه
Improving risk-adjusted performance in high frequency trading using interval type-2 fuzzy logic
In this paper, we investigate the ability of higher order fuzzy systems to handle increased uncertainty, mostly induced by the market microstructure noise inherent in a high frequency trading (HFT) scenario. Whilst many former studies comparing type-1 and type-2 Fuzzy Logic Systems (FLSs) focus on error reduction or market direction accuracy, our interest is predominantly risk-adjusted performa...
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ژورنال
عنوان ژورنال: Expert Systems with Applications
سال: 2016
ISSN: 0957-4174
DOI: 10.1016/j.eswa.2016.01.056