Publication detail

Fuzzy Logic Investment Support on the Financial Market

DOSTÁL, P. BROŽ, Z.

Original Title

Fuzzy Logic Investment Support on the Financial Market

Czech Title

Podpora fuzzy logiky na finančních trzích

English Title

Fuzzy Logic Investment Support on the Financial Market

Type

journal article

Language

en

Original Abstract

This paper discusses the use of fuzzy logic and modeling as a decision making support for long-term investment decisions on financial markets. A simple model is proposed to calculate recommendations for the investors. This research required thorough analysis of historical data that lead to discovery of interesting dependencies between the Dow Jones index, currency pairs, oil price and the VIX volatility index. The fuzzy model uses several input variables that are used to simplify the complex conditions on the financial markets. The purpose of the model is to evaluate the current market situation, compare current situation to similar situations in the past and to provide investment recommendations for long-term investing.

Czech abstract

Článek pojednává o fuzzy logice a jejím modelování, jako podpory pro investiční rozhodování na finančních trzích. Je vytvořen jednoduchý model za účelem výpočtu doporučení pro investory. Byla provedena analýza historických dat z důvodu objevení závislostí na indexu Dow Jones, kurzu měny, ceně ropy a indexu VIX. Fuzzy model využívá vstupní proměnné pro účely zjednodušení složitých podmínek na finančních trzích. Účelem modelu je vyhodnotit současnou situaci na trhu, porovnat je s dřívějšími podobnými situacemi a provést doporučení pro dlouhodobé investování.

English abstract

This paper discusses the use of fuzzy logic and modeling as a decision making support for long-term investment decisions on financial markets. A simple model is proposed to calculate recommendations for the investors. This research required thorough analysis of historical data that lead to discovery of interesting dependencies between the Dow Jones index, currency pairs, oil price and the VIX volatility index. The fuzzy model uses several input variables that are used to simplify the complex conditions on the financial markets. The purpose of the model is to evaluate the current market situation, compare current situation to similar situations in the past and to provide investment recommendations for long-term investing.

Keywords

Fzzy logic, stock market, investment, decision, support, chaos, MATLAB

RIV year

2011

Released

20.06.2011

Publisher

International Institute of Forecasters

Location

USA

Pages from

47

Pages to

52

Pages count

6