An adaptive ordered fuzzy time series is proposed that employs an adaptive order selection algorithm for composing the rule structure and partitions the universe of discourse into unequal intervals based on a fast self-organising strategy. The automatic order selection of FTS as well as the adaptive partitioning of each interval in the universe of discourse is shown to greatly affect forecastin...

The study contrasts mainstream economics – operating on time scales of hours and days – with behavioural finance, econophysics and high-frequency trading, more applicable to short-term time scales of the order of minutes and seconds. We show how the central theoretical assumption underpinning prevailing economic theories is violated on small time scales. We also demonstrate how an alternative b...

Foreign exchange (FOREX) is required for transactions on current account (goods and services) and capital account (financial assets). In FOREX market, exchange rate is the key variable linking all prices in different countries. Traditionally, it is assumed that exchange rate is determined fundamentally by current account transactions in a long-term perspective (PPP) and by capital account trans...

This paper advances Multilevel Stochastic Dynamic Process (MSDP) models as a new framework for modelling nonstationary and nonlinear time series and complex systems, and discuss possible applications of MSDP models in global financial market analysis and surveillance. Both the discreteand continuous-time forms of MSDP models are constructed: Multilevel Structural Time Series (MSTS) with Unobser...

We have developed a genetic algorithm approach for automatically generating expert advisors, computer programs that trade automatically in the financial markets. Our system, known as GenFx or Genetic Forex, evaluates evolutionarily generated expert advisors strategies using predetermined fitness functions to automatically prioritize parents for breeding. GenFx simulates several key factors in n...