A fuzzy logic control using a differential evolution algorithm aimed at modelling the financial market dynamics

Abstract

The topic of modelling financial market price movements is in the heart of a wide ranging debate between fundamentalists and behaviourists. Therefore, the difficulty of the prediction is due to several features: the complexity, the non-linearity and the dynamism of the financial market system, as well as the behaviour of two categories of traders. While the irrational traders are known by a shift in their sentiments, the rational ones have a limited capacity of arbitration. While taking into account the fuzzy complementarity between the fundamentalists and the behaviourists in the explanation of financial market dynamics, this study investigates the development of a new modelling technique using fuzzy sets optimized through differential evolution. This new technique provides some applicable results in the explanation of the dynamical emergent and international financial markets. 2010 Elsevier Inc. All rights reserved.

DOI: 10.1016/j.ins.2010.09.010

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Cite this paper

@article{Hachicha2011AFL, title={A fuzzy logic control using a differential evolution algorithm aimed at modelling the financial market dynamics}, author={Nizar Hachicha and Bassem Jarboui and Patrick Siarry}, journal={Inf. Sci.}, year={2011}, volume={181}, pages={79-91} }