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

Authors:
Nizar Hachicha;Bassem Jarboui;Patrick Siarry
Affiliations:
COFFIT-FSEGS, route de l'aéroport km 4, Sfax 3018, Tunisia;Institut Supérieur de Commerce et de Comptabilité de Bizerte, Zarzouna 7021, Bizerte, Tunisia;LiSSi, Université Paris-Est Créteil Val-de-Marne, 61 avenue du Général de Gaulle, 94010 Créteil, France
Venue:
Information Sciences: an International Journal
Year:
2011

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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.