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Master's Dissertation
DOI
https://doi.org/10.11606/D.3.2008.tde-06112008-104532
Document
Author
Full name
Claudio Robinson Tapié Pereira
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2008
Supervisor
Committee
Cipparrone, Flávio Almeida de Magalhães (President)
Andrade, Marco Túlio Carvalho de
Pinto, Afonso de Campos
Title in Portuguese
Sistema de tomada de decisão para compra e venda de ativos financeiros utilizando lógica fuzzy.
Keywords in Portuguese
Compra e venda
Fuzzy
Tomada de decisão
Abstract in Portuguese
O Sistema Proteu Fuzzy é um sistema de tomada de decisão para compra e venda de ativos financeiros que visa auxiliar a figura do analista técnico (de modo imparcial e racional), informando quando existe uma boa oportunidade para se comprar ou vender um determinado ativo (e.g. ações). Utilizaram-se, como base para as suas decisões, técnicas de inteligência artificial (Lógica Fuzzy) e indicadores técnicos (Médias Móveis, MACD e RSI). As simulações mostram que o sistema conseguiu gerar resultados de forma consistente e com menor volatilidade que o mercado para alguns ativos.
Title in English
Decision making system with the purpose to buy and sell equities using Fuzzy logic.
Keywords in English
Computational techniques
Decision-making systems
Forecasting and simulation
Fuzzy logic
Abstract in English
The Proteu Fuzzy System is a decision-making system with the purpose of supporting a technical analyst issuing (impartial and rational) buy and sell signals for a financial asset. The system use, for the decision-making process, an inference engine based on Fuzzy Logic and technical indicators (e.g. Moving Averages, MACD and RSI). The simulation shows that the system is able to generate profits in a consistent manner and with a lower volatility then the market for some assets.
 
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Publishing Date
2008-12-12
 
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