Adaptive fuzzy system for algorithmic trading : interpolative Boolean approach

Тема овог рада je адаптивни фази систем за алгоритамско трговање. Систем је развијен коришћењем интерполативног Буловог приступа фази моделовању, анализи података и управљању. Предложени приступ укључује интерполативне логичке моделе за фази препознавање ценовних образаца на тржишту, логички ДуПонт метод за аутоматизовану анализу профитабилности предузећа, интерполативни фази контролер за управљање трговањем и генетски алгоритам за обучавање интерполативног фази контролера ради откривања стратегија. Интерполативни Булов приступ, заснован на интерполативној Буловој алгебри, превазилази проблем неконзистентности фази логике. Конструисани адаптивни фази систем може самостално, из података, да открије успешне стратегије, примени их за алгоритамско трговање и адаптира у случају пада њихових перформанси. Успешност система тестирана је на подацима са америчког тржишта акција, међународног девизног тржишта и тржишта криптовалута.The topic of this thesis is adaptive fuzzy system for algorithmic trading. The system is developed using interpolative Boolean approach for fuzzy modeling, data analysis and control. The proposed approach includes interpolative logical models for fuzzy recognition of price patterns in market data, logical DuPont method for automated analysis of company’s profitability, interpolative fuzzy controller for trading and a genetic algorithm for extracting trading strategies by training interpolative fuzzy controller. Interpolative Boolean approach, based on interpolative Boolean agebra, solves the problem of fuzzy logic’s inconsistency with Boolean axioms. The proposed system can independently discover successful trading strategies from data, apply them for algorithmic trading and adapt in the case of performance deterioration. The system was tested on historical data from US equity, foreign exchange market and cryptocurrency market

An Automated System for Stock Market Trading Based on Logical Clustering

In this paper a novel clustering-based system for automated stock market trading is introduced. It relies on interpolative Boolean algebra as underlying mathematical framework used to construct logical clustering method which is the central component of the system. The system uses fundamental analysis ratios, more precisely market valuation ratios, as clustering variables to differentiate between undervaluated and overvaluated stocks. To structure investment portfolio, the proposed system uses special weighting formulas which automatically diversify investment funds. Finally, a simple trading simulation engine is developed to test our system on real market data. The proposed system was tested on Belgrade Stock Exchange historical data and was able to achieve a high rate of return and to outperform the BelexLine market index as a benchmark variable. The paper has also provided in-depth analysis of the system’s investment decision making process which reveals some exciting insights

The c.-1639g>A polymorphism of the VKORC1 gene and his influence on the therapeutic response during oral anticoagulants use

Background/Aim. A single nucleotide polymorphism c.- 1639G>A in the promoter region of vitamin K-epoxide reductase (VKORC1) gene has been found to account for most of the variability in response to oral anticoagulants (OA). The aim of the study was to determine the incidence and the effect of c.-1639G>A polymorphism on the acenocoumarol dosage requirements in the group of patients under stable anticoagulation, and to estimate the variability in response to OA. Methods. Our study included 200 consecutive patients requiring low (n = 43), medium (n = 127) and high (n = 30) acenocoumarol dose. Results. Out of 43 low dose patients, 40 (93 %) carried the A allele. The A allele was less frequent in the group of 30 patients requiring high dose: among these patients 13 (43.3%) carried the A allele in the heterozygous form and none of them carried AA genotype. The patients with GG genotype required 2.6 times higher dose than the patients carriers of AA genotype (p < 0.0001). In 33 patients (16.5%) the overdose occurred during the initiation of anticoagulant therapy and in 11 patients (5.5%) it was associated with bleeding. Out of the group of 33 overdosed patients, 27 and 6 patients carried AA and GA genotype, respectively (p < 0.000001). Conclusion. VKORC1 significantly influenced OA dose and predicted individuals predisposed to unstable anticoagulation. The carriers of AA genotype required 2.6 time lower doses of OA than the carriares of GG genotype. Pharmacogenetic testing could predict a high risk of overdose among 28.5 % of our patients - carriers of AA genotype, before anticoagulation therapy initiation

Industrial safety of pressure vessels - Structural integrity point of view

This paper presents different aspects of pressure vessel safety in the scope of industrial safety, focused to the chemical industry. Quality assurance, including application of PED97/23 has been analysed first, followed shortly by the risk assessment and in details by the structural integrity approach, which has been illustrated with three case studies. One important conclusion, following such an approach, is that so-called water proof testing can actually jeopardize integrity of a pressure vessel instead of proving it

Industrial safety of pressure vessels - Structural integrity point of view

This paper presents different aspects of pressure vessel safety in the scope of industrial safety, focused to the chemical industry. Quality assurance, including application of PED97/23 has been analysed first, followed shortly by the risk assessment and in details by the structural integrity approach, which has been illustrated with three case studies. One important conclusion, following such an approach, is that so-called water proof testing can actually jeopardize integrity of a pressure vessel instead of proving it

The c.-1639g gt A polymorphism of the VKORC1 gene and his influence on the therapeutic response during oral anticoagulants use

Uvod/Cilj. Pojedinačni nukleotidni polimorfizam c.- 1639G gt A u promotorskom regionu gena za vitamin K epoksid- reduktazu (VKORC1), odgovoran je za varijabilnost odgovora u toku primene oralnih antikoagulanasa (OA). Cilj našeg istraživanja bio je da utvrdimo učestalost polimorfizma c.- 1639G gt A i njegov uticaj na dozu antikoagulansa acenokumarola, te da procenimo povezanost varijabilnosti u odgovoru na terapiju sa prisutnim polimorfizmom. Metode. U ispitivanje je bilo uključeno 200 bolesnika koji su primali OA (43 malu dozu, 127 srednju i 30 veliku dozu). Rezultati. Kod 40 (93%) bolesnika lečenih malom dozom OA, dokazano je prisustvo A-alela. U grupi koja je primala veliku dozu OA, 13 (43,3%) bolesnika bili su nosioci A-alela, heterozigoti (GA genotip), i nijedan od njih nije bio nosilac homozigotne varijante AA genotipa. Posmatrano u celini, u grupi sa AA genotipom doza održavanja OA bila je 10 mg nedeljno, sa GA 19 mg i sa GG genotipom 26 mg. Kod nosilaca GG genotipa bile su potrebne 2,6 puta veće doze antikoagulansa za postizanje terapijskog raspona INR u odnosu na nosioce AA genotipa (p lt 0,0001). Retrospektivnom analizom utvrđeno je da je 33 (16,5%) bolesnika u toku uvođenja terapije bilo predozirano, a kod 11 (5,5%) bolesnika predoziranost je bila udružena sa pojavom krvarenja. Od 33 predozirana bolesnika, 27 su bili nosioci AA genotipa, a šest nosioci GA genotipa (p lt 0,000001). Zaključak. Na individualnu osetljivost na antikoagulanse VKORC1 ima značajan uticaj. Nosiocima AA genotipa potrebne su 2,6 puta manje doze antikoagulansa za održavanje terapijskog raspona INR u odnosu na nenosioce. Farmakogenetski testovi mogli su da ukažu na visok rizik od predoziranja kod 28,5% naših bolesnika, nosioca AA genotipa, pre uvođenja terapije OA.Background/Aim. A single nucleotide polymorphism c.- 1639G gt A in the promoter region of vitamin K-epoxide reductase (VKORC1) gene has been found to account for most of the variability in response to oral anticoagulants (OA). The aim of the study was to determine the incidence and the effect of c.-1639G gt A polymorphism on the acenocoumarol dosage requirements in the group of patients under stable anticoagulation, and to estimate the variability in response to OA. Methods. Our study included 200 consecutive patients requiring low (n = 43), medium (n = 127) and high (n = 30) acenocoumarol dose. Results. Out of 43 low dose patients, 40 (93 %) carried the A allele. The A allele was less frequent in the group of 30 patients requiring high dose: among these patients 13 (43.3%) carried the A allele in the heterozygous form and none of them carried AA genotype. The patients with GG genotype required 2.6 times higher dose than the patients carriers of AA genotype (p lt 0.0001). In 33 patients (16.5%) the overdose occurred during the initiation of anticoagulant therapy and in 11 patients (5.5%) it was associated with bleeding. Out of the group of 33 overdosed patients, 27 and 6 patients carried AA and GA genotype, respectively (p lt 0.000001). Conclusion. VKORC1 significantly influenced OA dose and predicted individuals predisposed to unstable anticoagulation. The carriers of AA genotype required 2.6 time lower doses of OA than the carriares of GG genotype. Pharmacogenetic testing could predict a high risk of overdose among 28.5 % of our patients - carriers of AA genotype, before anticoagulation therapy initiation

Adaptive fuzzy system for algorithmic trading : interpolative Boolean approach

Тема овог рада je адаптивни фази систем за алгоритамско трговање. Систем је развијен коришћењем интерполативног Буловог приступа фази моделовању, анализи података и управљању. Предложени приступ укључује интерполативне логичке моделе за фази препознавање ценовних образаца на тржишту, логички ДуПонт метод за аутоматизовану анализу профитабилности предузећа, интерполативни фази контролер за управљање трговањем и генетски алгоритам за обучавање интерполативног фази контролера ради откривања стратегија. Интерполативни Булов приступ, заснован на интерполативној Буловој алгебри, превазилази проблем неконзистентности фази логике. Конструисани адаптивни фази систем може самостално, из података, да открије успешне стратегије, примени их за алгоритамско трговање и адаптира у случају пада њихових перформанси. Успешност система тестирана је на подацима са америчког тржишта акција, међународног девизног тржишта и тржишта криптовалута.The topic of this thesis is adaptive fuzzy system for algorithmic trading. The system is developed using interpolative Boolean approach for fuzzy modeling, data analysis and control. The proposed approach includes interpolative logical models for fuzzy recognition of price patterns in market data, logical DuPont method for automated analysis of company’s profitability, interpolative fuzzy controller for trading and a genetic algorithm for extracting trading strategies by training interpolative fuzzy controller. Interpolative Boolean approach, based on interpolative Boolean agebra, solves the problem of fuzzy logic’s inconsistency with Boolean axioms. The proposed system can independently discover successful trading strategies from data, apply them for algorithmic trading and adapt in the case of performance deterioration. The system was tested on historical data from US equity, foreign exchange market and cryptocurrency market

Interpolative Boolean algebra based multicriteria routing algorithm

In order to improve the quality-of-service of distributed applications, we propose a multi-criteria algorithm based on interpolative Boolean algebra for routing in an overlay network. We use a mesh topology because it can be easily implemented, and it makes addressing of the cores quite simple during routing. In this paper, we consider four criteria: buffer usage, the distance between peers, bandwidth, and remaining battery power. The proposed routing algorithm determines the path which satisfies quality-of service requirements using interpolative Boolean algebra; the decision at each node is made based on the ranking of available options considering multiple constraints. The simulation shows that the proposed approach provides better results than the standard shortest path routing algorithm

Composite Indicator of the Organisational Information and Communication Technologies Infrastructure—A Novel Statistical Index Tool

This paper proposes a tool for objective evaluation of organisations’ information and communication technologies (ICT) infrastructure development level: Composite Indicator of the Organisational Information and Communication Infrastructure—CIOICTI. Based on separate research in 68 different companies, it aggregates hardware, software and humanware aspects of ICT development in organisations, especially valuing companies with synergetic aspects. It consists of six linear and non-linear indicator components, each designed to evaluate one specific aspect of ICT development, based on the weighted sum principle. The proposed CIOICTI examines ICT infrastructure as a necessary but not sufficient condition for successful ICT usage in business performance improvement. The obtained CIOICTI values are summarised in the distribution and tested for normality. Results are tested on the data from observed companies, averaged according to company size and industry and benchmarked. The proposed composite indicator can be used as an objective tool for researchers and practitioners to assess the level of ICT development for benchmarking with other companies, planning organisational changes or assessing infrastructural requirements for planning and implementation of ICT related projects in a business organisation