Fuzzy logic in the multi-agent financial decision support system

The article presents the application of a fuzzy logic in building the trading agents of the a-Trader system. The system supports investment decisions on the FOREX market. The first part of the article contains a discussion related to the use of fuzzy logic as an agents' knowledge representation. Next, the algorithms of the selected fuzzy logic buy-sell decision agents are presented. In the last part of the article the agent performance is evaluated on real FOREX data.

[1]  L. Valiant.  Probably Approximately Correct: Nature's Algorithms for Learning and Prospering in a Complex World , 2013 .

[2]  J. Bollinger.  Bollinger on Bollinger Bands , 2001 .

[3]  AGENTS AND THEIR KNOWLEDGE REPRESENTATIONS , .

[4]  Wing Lon Ng,et al.  Can a zero-intelligence plus model explain the stylized facts of financial time series data? , 2012, AAMAS.

[5]  Wing-Keung Wong,et al.  Automated Trading with Genetic-Algorithm Neural-Network Risk Cybernetics: An Application on FX Markets , 2012 .

[6]  Serafín Martínez-Jaramillo,et al.  An Heterogeneous, Endogenous and Coevolutionary GP-Based Financial Market , 2009, IEEE Transactions on Evolutionary Computation.

[7]  V. Novák,et al.  Mathematical Principles of Fuzzy Logic , 1999 .

[8]  O. Badawy,et al.  Combining neural network knowledge in a mobile collaborating multi-agent system , 2004, International Conference on Electrical, Electronic and Computer Engineering, 2004. ICEEC '04..

[9]  Ngoc Thanh Nguyen,et al.  Deriving Consensus for Hierarchical Incomplete Ordered Partitions and Coverings , 2007, J. Univers. Comput. Sci..

[10]  Ning Wang,et al.  ERPBAM: A Model for Structure and Reasoning of Agent Based on Entity-Relation-Problem Knowledge Representation System , 2009, 2009 IEEE/WIC/ACM International Joint Conference on Web Intelligence and Intelligent Agent Technology.

[11]  Blake LeBaron,et al.  Active and Passive Learning in Agent-based Financial Markets , 2011 .

[12]  Camillo Lento,et al.  A Combined Signal Approach to Technical Analysis on the S&P 500 , 2008 .

[13]  Jerzy Korczak,et al.  Performance evaluation of decision-making agents' in the multi-agent system , 2014, 2014 Federated Conference on Computer Science and Information Systems.

[15]  Marcin Hernes,et al.  Application of the consensus method in a multiagent financial decision support system , 2016, Inf. Syst. E Bus. Manag..

[16]  International Foundation for Autonomous Agents and MultiAgent Systems ( IFAAMAS ) , 2007 .

[17]  Jerzy Korczak,et al.  A-Trader — Consulting agent platform for stock exchange gamblers , 2012, 2012 Federated Conference on Computer Science and Information Systems (FedCSIS).

[18]  Carlos León,et al.  A Fuzzy Logic intelligent agent for Information Extraction: Introducing a new Fuzzy Logic-based term weighting scheme , 2012, Expert Syst. Appl..

[19]  Okba Kazar,et al.  A Multi-Agent Approach Based on Fuzzy Logic For a Robot Manipulator , 2009, J. Digit. Content Technol. its Appl..

[20]  James Martin,et al.  Object-oriented methods , 1994 .

[21]  D. Devaraj,et al.  Fuzzy Sets & Fuzzy Logic , 2014 .

[22]  Uzay Kaymak,et al.  A fuzzy logic based trading system , 2007 .

[23]  Alberto RibesAbstract,et al.  Multi agent systems , 2019, Proceedings of the 2005 International Conference on Active Media Technology, 2005. (AMT 2005)..

[24]  Richard Fikes,et al.  The role of frame-based representation in reasoning , 1985, CACM.

[25]  Robert LIN,et al.  NOTE ON FUZZY SETS , 2014 .

[26]  M. Afshar Alam,et al.  A Multi-intelligent Agent Architecture for Knowledge Extraction: Novel Approaches for Automatic Production Rules Extraction , 2014, MUE 2014.

[27]  Ngoc Thanh Nguyen,et al.  Agent and Multi-agent Technology for Internet and Enterprise Systems , 2010, Agent and Multi-agent Technology for Internet and Enterprise Systems.

[28]  Peter Norvig,et al.  Artificial Intelligence: A Modern Approach , 1995 .

[29]  Pritpal Singh,et al.  Forecasting stock index price based on M-factors fuzzy time series and particle swarm optimization , 2014, Int. J. Approx. Reason..

[30]  C. Kirkpatrick,et al.  Technical Analysis: The Complete Resource for Financial Market Technicians , 2006 .

[31]  Li Shan.  Overview of Researches on Ontology , 2004 .

[32]  Burcin Cem Arabacioglu,et al.  Using fuzzy inference system for architectural space analysis , 2010, Appl. Soft Comput..

[33]  M. Dempster,et al.  A real-time adaptive trading system using genetic programming , 2001 .

[34]  E. Tsang,et al.  Modeling the FX Market Traders’ Behavior: An Agent-Based Approach , 2013 .

[35]  Gerhard Weiss,et al.  Multi-Agent Systems , 2013 .

[36]  Stan Franklin,et al.  THE LIDA ARCHITECTURE: ADDING NEW MODES OF LEARNING TO AN INTELLIGENT, AUTONOMOUS, SOFTWARE AGENT , 2006 .

[37]  Mu-Yen Chen,et al.  A high-order fuzzy time series forecasting model for internet stock trading , 2014, Future Gener. Comput. Syst..

[38]  Jeremy Lagorse,et al.  A Multiagent Fuzzy-Logic-Based Energy Management of Hybrid Systems , 2009 .

[39]  Orlando Belo,et al.  Multi-Agent Forex Trading System , 2010, Agent and Multi-agent Technology for Internet and Enterprise Systems.

[40]  Jerzy Korczak,et al.  Risk avoiding strategy in multi-agent trading system , 2013, 2013 Federated Conference on Computer Science and Information Systems.

[41]  Franklin Allen,et al.  Using genetic algorithms to find technical trading rules , 1999 .

[42]  Alessandro Ricci,et al.  Cognitive Use of Artifacts: Exploiting Relevant Information Residing in MAS Environments , 2008, KRAMAS.

[43]  Wang Xizhao and An Sufang.  Research on Learning Weights of Fuzzy Production Rules Based on Maximum Fuzzy Entropy , 2006 .

[44]  Xia You-ming.  Research and practice of frame knowledge representation , 2006 .

[45]  Mariusz Zytniewski,et al.  The outcomes of the research in areas of application and impact of software agents societies to organizations so far. Examples of implementation in Polish companies , 2013, 2013 Federated Conference on Computer Science and Information Systems.

[46]  James B. Glattfelder,et al.  Patterns in high-frequency FX data: discovery of 12 empirical scaling laws , 2008, 0809.1040.

[47]  Ngoc Thanh Nguyen,et al.  Using Consensus Methodology in Processing Inconsistency of Knowledge , 2006, Advances in Web Intelligence and Data Mining.