A fuzzy logic control using a differential evolution algorithm aimed at modelling the financial market dynamics

被引：60

作者：

Hachicha, Nizar ^{[3
]}

Jarboui, Bassem ^{[2
]}

Siarry, Patrick ^{[1
]}

机构：

[1] Univ Paris Est Creteil Val de Marne, LiSSi, F-94010 Creteil, France

[2] Inst Super Commerce & Comptabilite Bizerte, Zarzouna 7021, Bizerte, Tunisia

[3] COFFIT FSEGS, Sfax 3018, Tunisia

来源：

INFORMATION SCIENCES | 2011年 / 181卷 / 01期

关键词：

Fuzzy set; Differential evolution; Heterogeneous anticipations; Efficiency; Behavioural finance; CROSS-SECTION; OPTIMIZATION; RULES;

D O I：

10.1016/j.ins.2010.09.010

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The topic of modelling financial market price movements is in the heart of a wide ranging debate between fundamentalists and behaviourists. Therefore, the difficulty of the prediction is due to several features: the complexity, the non-linearity and the dynamism of the financial market system, as well as the behaviour of two categories of traders. While the irrational traders are known by a shift in their sentiments, the rational ones have a limited capacity of arbitration. While taking into account the fuzzy complementarity between the fundamentalists and the behaviourists in the explanation of financial market dynamics, this study investigates the development of a new modelling technique using fuzzy sets optimized through differential evolution. This new technique provides some applicable results in the explanation of the dynamical emergent and international financial markets. (C) 2010 Elsevier Inc. All rights reserved.

引用

页码：79 / 91

页数：13

共 35 条

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