Stock Trading via Fuzzy Feedback Control Presenter: Saman Cyrus Course: ECE/ME/CS 539

Overview 1.Abstract 2.Motivation 3.SLS Controller 4.Fuzzy Tuning of the Controller 5.Numerical Example 1/7

Introduction & Motivation Problem Tuning a feedback controller’s parameters with fuzzy logic Motivation and Importance of This Project There have been a lot of research about application of control engineering in financial systems. Most of these researches use stochastic control to determine a model for the financial system and then find an appropriate controller. A new line of research uses static feedback control instead. This static feedback controller is called Simultaneous Long-Short (SLS) This project tries to automatically tune parameters of this controller 2/7

SLS Controller (Non-Fuzzy) 3/7 Gain/Loss Accounting Gain/loss g(t) + K K Financial Market

SLS Controller (Non-Fuzzy) 3/7 Gain/Loss Accounting Gain/loss g(t) + K K Financial Market

Fuzzy Tuning of the parameter K 4/7 Gain/Loss Accounting Gain/loss g(t) + K K Fuzzy Controller

Fuzzy Tuning of the parameter K Rule Table for Fuzzy Controller: NL: Negative Large NS: Negative Small PS: Positive Small PL: Positive Large 4/7 NLNSPSPL NL NMNS NLNM NS PS PM PL PSPMPL

Membership Functions Membership Function of Inputs: Membership Function of Output: 5/7

Control Surface Control Surface of The Fuzzy Controller 6/7

Numerical Example: EUR/USD. Year 2000, Data from Yahoo Finance. M1 data SLS without Tuning: SLS with Fuzzy Tuning 7/7

Questions?