Re: fuzzy logic in time series forecasting

Robin B. Lake (rbl@hal.EPBI.CWRU.Edu)
Mon, 21 Sep 1998 22:12:58 +0200 (MET DST)

Fuzzy concepts applied to short-term market predictions works! Our
trading record (real money) since June 1 has been approx. 45 profitable
trades to about 8 losing trades. The system requires a mini-super-computer
(actually three of them) and a LOT of fuzzy-type math, but we get a pretty
good (albeit fuzzy) picture of the next-day's intraday price movements,
specific times to buy and sell (typically +/- 3 minutes), and a fuzzy-
quantitative measure of how much the market will move at those times.

I don't claim to understand the underlying physics of the market nor what
it is exactly that is being measured, but it is making money on the bottom
line! Perhaps the BEST aspect is that it tells when the market is too
risky to play!

There is a beginning Web site at http://junior.apk.net/~lake although
junior seems to have changed its address and a second redirection may
be required.

Cheers,
Rob Lake
Environmental Modeling Inc.
rbl@po.cwru.edu

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