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Type-2 Fuzzy Logic in High Frequency Trading

In a recent journal publication we investigate the viability of Type-2 fuzzy systems in high frequency trading. We propose Type-2 models based on a generalisation of the popular ANFIS model (ANFIS/T2). Type-2 models score significant risk adjusted performance improvements over Type-1.
Benefits of Type-2 models increase with higher trading frequencies.

Paper available at:
http://www.sciencedirect.com/science/article/pii/S0957417416300203

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