Improving risk-adjusted performance in high frequency trading using interval type-2 fuzzy logic

作者：

Highlights：

• We investigate the viability of Type-2 fuzzy systems in high frequency trading.

• We propose Type-2 models based on a generalisation of the popular ANFIS model.

• Type-2 models score significant risk adjusted performance improvements over Type-1.

• Benefits of Type-2 models increase with higher trading frequencies.

摘要

•We investigate the viability of Type-2 fuzzy systems in high frequency trading.•We propose Type-2 models based on a generalisation of the popular ANFIS model.•Type-2 models score significant risk adjusted performance improvements over Type-1.•Benefits of Type-2 models increase with higher trading frequencies.

论文关键词：High-frequency trading,ANFIS,Type-2 fuzzy logic,ANFIS/T2

论文评审过程：Received 1 October 2015, Revised 30 January 2016, Accepted 31 January 2016, Available online 11 February 2016, Version of Record 27 February 2016.

论文官网地址：https://doi.org/10.1016/j.eswa.2016.01.056