Year of Graduation
The Application of Belief Function Theory to the Development of Trading Strategies
In the work, the possibility of using the belief function theory tools for developing of trading strategies. An analysis of this approach is given on the data of the Russian foreign exchange market. The belief and plausibility functions (and their corresponding bodies of evidence) to the system's recommendations (buy, sell or hold) are calculated using fuzzy inference methods for each technical indicator. Further, these bodies of evidence are aggregated using the combining rules (the Dempster rule, the Yager rule and others). The discount coefficients of the bodies of evidence are calculated at the stage of the learning from the condition of maximizing the profitability of the trading strategy. The intervals for the purchase or sale of assets are determined on the basis of the results of such combination. The decision about the corresponding action is taken after comparing these intervals. The study showed that the proposed approach provides a good return.