Author:
Isidoro J. Casanova
Affiliation:
University of Murcia, Spain
Keyword(s):
Finance, Portfolio selection, Trading system, Decision support system, Fuzzy inference system.
Related
Ontology
Subjects/Areas/Topics:
Approximate Reasoning and Fuzzy Inference
;
Artificial Intelligence
;
Biomedical Engineering
;
Biomedical Signal Processing
;
Computational Intelligence
;
Computer-Supported Education
;
Domain Applications and Case Studies
;
Fuzzy Systems
;
Health Engineering and Technology Applications
;
Human-Computer Interaction
;
Industrial, Financial and Medical Applications
;
Methodologies and Methods
;
Neural Networks
;
Neurocomputing
;
Neurotechnology, Electronics and Informatics
;
Pattern Recognition
;
Physiological Computing Systems
;
Sensor Networks
;
Signal Processing
;
Soft Computing
;
Theory and Methods
Abstract:
This paper describes a decision system based on rules for the management of a stock portfolio using a fuzzy inference system to select the stocks to be incorporated. This system simulates the intelligent behavior of an investor, carrying out the buying and selling of stocks, such that during each day the best stocks will be selected to be incorporated in the portfolio with the use of technical indicators using a fuzzy logic based approach. The proposed novel fuzzy system only has a simple strict set of rules to decide if a share is bought or not, unlike other systems that also include rules for the sale and have a lot of complicated rules.
The system has been tested in 3 time periods (1 year, 3 years and 5 years), simulating the purchase/sale of stocks in the Spanish continuous market and the results have been compared with the revaluations obtained by the best investment funds operating in Spain.