TY - GEN
T1 - An improved fuzzy rule-based automated trading agent
AU - Allende-Cid, Héctor
AU - Canessa, Enrique
AU - Quezada, Ariel
PY - 2010
Y1 - 2010
N2 - In this paper an improved Fuzzy Rule-Based Trading Agent is presented. The proposal consists in adding machine-learning-based methods to improve the overall performance of an automated agent that trades in futures markets. The modified Fuzzy Rule-Based Trading Agent has to decide whether to buy or sell goods, based on the spot and futures time series, gaining a profit from the price speculation. The proposal consists first in changing the membership functions of the fuzzy inference model (gaussian and sigmoidal, instead of triangular and trapezoidal). Then using the NFAR (Neuro-Fuzzy Autorregresive) model the relevant lags of the time series are detected, and finally a fuzzy inference system (Self-Organizing Neuro-Fuzzy Inference System) is implemented to aid the decision making process of the agent. Experimental results demonstrate that with the addition of these techniques, the improved agent considerably outperforms the original one.
AB - In this paper an improved Fuzzy Rule-Based Trading Agent is presented. The proposal consists in adding machine-learning-based methods to improve the overall performance of an automated agent that trades in futures markets. The modified Fuzzy Rule-Based Trading Agent has to decide whether to buy or sell goods, based on the spot and futures time series, gaining a profit from the price speculation. The proposal consists first in changing the membership functions of the fuzzy inference model (gaussian and sigmoidal, instead of triangular and trapezoidal). Then using the NFAR (Neuro-Fuzzy Autorregresive) model the relevant lags of the time series are detected, and finally a fuzzy inference system (Self-Organizing Neuro-Fuzzy Inference System) is implemented to aid the decision making process of the agent. Experimental results demonstrate that with the addition of these techniques, the improved agent considerably outperforms the original one.
KW - Automated trading agent
KW - Fuzzy rule-based agent
UR - http://www.scopus.com/inward/record.url?scp=79955937130&partnerID=8YFLogxK
U2 - 10.1109/SCCC.2010.33
DO - 10.1109/SCCC.2010.33
M3 - Conference contribution
AN - SCOPUS:79955937130
SN - 9780769544007
T3 - Proceedings - International Conference of the Chilean Computer Science Society, SCCC
SP - 146
EP - 151
BT - Proceedings - 29th International Conference of the Chilean Computer Science Society, SCCC 2010
PB - IEEE Computer Society
ER -