Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market

DOI10.1016/j.jedc.2005.12.002zbMath1162.91347OpenAlexW1973003641MaRDI QIDQ959746

Nikola Gradojevic

Publication date: 12 December 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2005.12.002

zbMATH Keywords

fuzzy logicartificial neural networksmarket microstructure

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Theory of fuzzy sets, etc. (03E72) Microeconomic theory (price theory and economic markets) (91B24) Reasoning under uncertainty in the context of artificial intelligence (68T37) General considerations in statistical decision theory (62C05)

Related Items (4)

Modeling uncertainty in limit order execution ⋮ Market efficiency of Brazilian exchange rate: Evidence from variance ratio statistics and technical trading rules ⋮ Heterogeneous trading strategies with adaptive fuzzy actor-critic reinforcement learning: a behavioral approach ⋮ A continuous time Bayesian network classifier for intraday FX prediction

Uses Software

• ANFIS

Cites Work

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• Fuzzy inductive reasoning, expectation formation and the behavior of security prices
• Agent-based computational finance: Suggested readings and early research
• An experiment in linguistic synthesis with a fuzzy logic controller
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Fuzzy sets
• Approximation by superpositions of a sigmoidal function

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