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dc.contributor.authorBayram, M.
dc.contributor.authorAkat, Muzaffer
dc.date.accessioned2020-08-27T10:24:43Z
dc.date.available2020-08-27T10:24:43Z
dc.date.issued2019
dc.identifier.issn1392-2785en_US
dc.identifier.urihttp://hdl.handle.net/10679/6841
dc.identifier.urihttp://inzeko.ktu.lt/index.php/EE/article/view/14350
dc.description.abstractPricing of financial instruments and stock market predictions is a specific and relatively narrow field, which has been mainly explored by mathematicians, economists and financial engineers. Prediction to make profits in a martingale domain is a hard task. Pairs trading, a market neutral arbitrage strategy, attempts to resolve the drawback of unpredictability and yield market independent returns using relative pricing idea. If two securities have similar characteristics, so should their prices. Deviation from the acceptable similarity range in price is considered an anomaly, and whenever noticed, trading is executed assuming the anomaly will correct itself. This work proposes a fuzzy inference model for the market-neutral pairs trading strategy. Fuzzy logic lets mimicking human decision-making in a complex trading environment and taking advantage of arbitrage opportunities that the crisp models may miss to acquire for trade decision-making. Spread between two co-integrated stocks and volatility of the spread are used as decision-making inputs. The main focus of this study is the contribution of the fuzzy engine to the existing pairs trading strategies based on the spread measure. Widespread classical 'crisp' techniques are chosen and compared with the developed fuzzy' model. Significant enhancement on the performance of the trading strategies has been reported.en_US
dc.language.isoengen_US
dc.publisherKaunas University of Technologyen_US
dc.relation.ispartofEngineering Economics
dc.rightsopenAccess
dc.titleMarket-neutral trading with fuzzy inference, a new method for the pairs trading strategyen_US
dc.typeArticleen_US
dc.description.versionPublisher versionen_US
dc.peerreviewedyesen_US
dc.publicationstatusPublisheden_US
dc.contributor.departmentÖzyeğin University
dc.contributor.authorID(ORCID 0000-0003-1680-2158 & YÖK ID 177201) Akat, Muzaffer
dc.contributor.ozuauthorAkat, Muzaffer
dc.identifier.volume30en_US
dc.identifier.issue4en_US
dc.identifier.startpage411en_US
dc.identifier.endpage421en_US
dc.identifier.wosWOS:000493807100002
dc.identifier.doi10.5755/j01.ee.30.4.14350en_US
dc.subject.keywordsMarket-neutral tradingen_US
dc.subject.keywordsStatistical arbitrageen_US
dc.subject.keywordsPairs tradingen_US
dc.subject.keywordsFuzzy inferenceen_US
dc.subject.keywordsDecision makingen_US
dc.identifier.scopusSCOPUS:2-s2.0-85074590438
dc.contributor.authorMale1
dc.relation.publicationcategoryArticle - International Refereed Journal - Institution Academic Staff


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