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自动化交易是现代金融领域的研究热点,而交易策略是其核心。技术指标分析中,每一种指标都有其优势和劣势,单一的指标经常产生导致亏损的虚假信号。为了提高交易信号的质量和可靠性,针对外汇市场的多变性和存在诸多不确定性的客观事实,本文引入证据理论来处理不同技术指标分析方法结论存在的差异;将不同的指标作为独立的证据源,用D-S合成规则对各个指标分析方法的结果予以融合,建立了基于证据理论的多指标融合外汇交易模型,给出了基于证据理论的交易框架。根据技术指标的特点及交易原理,构造了指标证据的基本概率分配函数。最后,通过实例分析验证了该方法的科学性和有效性。
Automated trading is a research hotspot in the field of modern finance, and trading strategy is the core. In technical indicators analysis, each indicator has its advantages and disadvantages. A single indicator often produces a false signal that leads to a loss. In order to improve the quality and reliability of trading signals, aiming at the fact that there are many uncertainties in the foreign exchange market, this paper introduces the theory of evidence to deal with the differences in the conclusions of different technical indicators. Different indicators as independent evidence Source, using the DS composition rules to integrate the results of various index analysis methods, establishing a multi-index fusion FX trading model based on evidence theory and giving a trading framework based on evidence theory. According to the characteristics of technical indicators and transaction theory, the basic probability distribution function of index evidence is constructed. Finally, the case study shows that the method is scientific and effective.