Proceedings of the 8th conference of the European Society for Fuzzy Logic and Technology (EUSFLAT-13)

Forecasting Exchange Rates with Fuzzy Granular Evolving Modeling for Trading Strategies

Authors
Leandro Maciel, Fernando Gomide, Rosangela Ballini
Corresponding Author
Leandro Maciel
Available Online August 2013.
DOI
https://doi.org/10.2991/eusflat.2013.40How to use a DOI?
Keywords
Granular Computing Evolving Systems Exchange Rates Trading Forecasting
Abstract
This paper addresses a fuzzy set based evolving modeling (FBeM) approach and the task of forecasting exchange rates in order to perform trading strategies. FBeM is a granular computing technique that uses fuzzy information granules to model nonstationary functions providing functional and linguistic approximations. As an application, this work considers the BRL/USD exchange rate for the period from January 2000 to October 2012. Caparisons in terms of goodness of fit and based on trading performance indicators includes the granular model against a Multi-Layer Perceptron (MLP), an autoregressive moving average (ARMA), a naïve strategy and some state-of-the-art evolving fuzzy systems. Computational results suggest that the FBeM model statistically outperforms the alternative approaches.
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Proceedings
8th conference of the European Society for Fuzzy Logic and Technology (EUSFLAT-13)
Part of series
Advances in Intelligent Systems Research
Publication Date
August 2013
ISBN
978-90786-77-78-9
ISSN
1951-6851
DOI
https://doi.org/10.2991/eusflat.2013.40How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Leandro Maciel
AU  - Fernando Gomide
AU  - Rosangela Ballini
PY  - 2013/08
DA  - 2013/08
TI  - Forecasting Exchange Rates with Fuzzy Granular Evolving Modeling for Trading Strategies
BT  - 8th conference of the European Society for Fuzzy Logic and Technology (EUSFLAT-13)
PB  - Atlantis Press
SP  - 276
EP  - 283
SN  - 1951-6851
UR  - https://doi.org/10.2991/eusflat.2013.40
DO  - https://doi.org/10.2991/eusflat.2013.40
ID  - Maciel2013/08
ER  -