Fundamental analysis in the multi-Agent trading system

Proceedings of the 2016 Federated Conference on Computer Science and Information Systems, FedCSIS 2016

Volumn , Issue , 2016, Pages 1169-1174

  Korczak, Jerzy ^a   Hernes, Marcin ^a   Bac, Maciej ^a  

^a WROCLAW UNIVERSITY OF ECONOMICS   (Poland)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; ELECTRONIC DOCUMENT EXCHANGE; ELECTRONIC TRADING; INFORMATION SYSTEMS; INVESTMENTS; MULTI AGENT SYSTEMS;

FOREX MARKETS; FUNDAMENTAL ANALYSIS; INVESTMENT STRATEGY; MULTI AGENT; ONLINE TRADING; TRADING SYSTEMS;

TIME SERIES ANALYSIS;

EID: 85007145657     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.15439/2016F238     Document Type: Conference Paper

References (27)

1. B. LeBaron, "Active and Passive Learning in Agent-based Financial Markets", Eastern Economic Journal, vol. 37, pp. 35-43, 2011.
2. L. Mendes, P. Godinho and J. Dias, "A Forex trading system based on a genetic algorithm", Journal of Heuristics 18 (4), pp. 627-656, 2012.
3. J.R. Thompson, J.R. Wilson and E. P. Fitts, "Analysis of market returns using multifractal time series and agent-based simulation", in Proceedings of the Winter Simulation Conference (WSC '12). Winter Simulation Conference, Article 323, 2012.
4. C. D. Kirkpatric and J. Dahlquist, Technical Analysis: The Complete Resource for Financial Market Technicians, Financial Times Press, 2006.
5. C. Lento, "A Combined Signal Approach to Technical Analysis on the S&P 500", Journal of Business & Economics Research, 6 (8), pp. 41-51, 2008.
6. H. C. Aladag, U. Yolco and E. Egrioglu, "A new time invariant fuzzy time series forecasting model based on particle swarm optimization", Applied Soft Computing, 12 (10), pp. 3291-3299, 2012.
7. P. Singh and B. Borah, "Forecasting stock index price based on Mfactors fuzzy time series and particle swarm optimization", International Journal of Approximate Reasoning, 55 (3), pp. 812-833, 2014.
8. O. Badawy and A. Almotwaly, "Combining neural network knowledge in a mobile collaborating multi-Agent system", Electrical, Electronic and Computer Engineering, ICEEC '04, pp. 325, 328, 2004, DOI: 10.1109/ICEEC.2004.1374457.
9. M. Aloud, E.P.K. Tsang and R. Olsen, "Modelling the FX Market Traders' Behaviour: An Agent-based Approach", in Simulation in Computational Finance and Economics: Tools and Emerging Applications, B. Alexandrova-Kabadjova, S. Martinez-Jaramillo, A. L. Garcia-Almanza and E. Tsang (eds.), IGI Global, 2012, pp. 202-228.
10. P. R. Kaltwasser, "Uncertainty about fundamentals and herding behavior in the FOREX market", Physica A: Statistical Mechanics and its Applications, 389 (6), pp. 1215-1222, March 2010.
11. J. B. Glattfelder, A. Dupuis and R. Olsen, "Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws", Quantitative Finance, 11 (4), pp. 599-614, 2011.
12. R.P. Barbosa and O. Belo, "Multi-Agent Forex Trading System", in Agent and Multi-Agent Technology for Internet and Enterprise Systems, Studies in Computational Intelligence, vol. 289, 2010, pp. 91-118.
13. F. H. Westerhoff, "Multi-Asset Market Dynamics", Macroeconomic Dynamics, 8/2011, pp. 596-616, 2011.
14. S. Johnson, "Push to tap into EM currency returns", Financial Times, February 2011.
15. A. Kritzer, "Forex For Beginners. A Comprehensive Guide to Profiting from the Global Currency Markets", Apress, 2012.
16. J. Kumar, T. Rao and S. Srivastava, "Economics of Gold Price Movement-Forecasting Analysis Using Macro-economic, Investor Fear and Investor Behavior Features", in S. Srinivasa, V. Bhatnagar (eds.), Big Data Analytics, Lecture Notes in Computer Science, Volume 7678, Springer-Verlag, Berlin, Heidelberg 2012, pp. 111-121, DOI: 10.1007/978-3-642-35542-4-10.
17. J. Korczak, M. Hernes and M. Bac, "Fuzzy Logic as Agents Knowledge Representation in A-Trader System", in E. Ziemba (ed.), Information Technology for Management, Lecture Notes in Business Information Processing, vol. 243, Springer International Publishing, 2016, pp. 109-124.
18. J. Korczak, M. Hernes and M. Bac, "Performance evaluation of decision-making agents in the multi-Agent system", in Proceedings of Federated Conference Computer Science and Information Systems (FedCSIS), Warszawa, 2014, pp. 1171-1180. DOI: 10.15439/2014F188.
19. M. Hernes and N.T. Nguyen, "Deriving Consensus for Hierarchical Incomplete Ordered Partitions and Coverings", Journal of Universal Computer Science 13 (2) , pp. 317-328, 2007.
20. M. Hernes and J. Sobieska-Karpińska , "Application of the consensus method in a multi-Agent financial decision support system", Information Systems and e-Business Management 14 (1), Springer Berlin Heidelberg, 2016, DOI: 10.1007/s10257-015-0280-9.
21. P. D. McNelis, "Neural Networks in Finance: Gaining Predictive Edge in the Market" (Academic Press Advanced Finance Series). Academic Press, Inc., Orlando, FL, USA, 2004.
22. F. Ahrens, "U.S. Trade Imbalance Widens Slightly: So What?" Washington Post, May 2009.
23. S. Johnson, "Push to tap into EM currency returns", Financial Times, February 2011.
24. J. Beckmann, A. Belke and M. Köhl, "The dollar-euro exchange rate and macroeconomic fundamentals: A time-varying coefficient approach", Review of World Economics 147 (1), pp 11-40, 2011.
25. P. Singh and B. Borah, "Forecasting stock index price based on Mfactors fuzzy time series and particle swarm optimization", International Journal of Approximate Reasoning, 55 (3), pp. 812-833, 2014.
26. P. van Foreest and C. G. de Vries, "The Forex Regime and EMU Expansion", Open Economies Review, 14 (3), pp. 285-298, 2003.
27. http://forexmarketexplained.com/