What is it about?
Efficient markets are theoretically impossible to forecast and outbeat. Furthermore, even if you find a way to predict the market movements and turn this into a strategy, the efficiency of the new strategy will diminish over time as more market actors will try gaining profits using the new strategy. Every strategy will end up with the market dependent outcomes. Market-neutral investment strategies aim to gain profit independent from the market risk. Pairs trading is a famous member of the market-neutral strategies family, however it had also lost efficiency over time leading to minor profits, even losses market costs considered. The proposed new method employing fuzzy logic aims to introduce a new approach to the market-neutral trading domain.
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Why is it important?
This study introduces a new approach, first employment of fuzzy logic and eventually first use of expert opinions through fuzzy logic for the market-neutral trading strategies domain.
Read the Original
This page is a summary of: Algorithmic pairs trading with expert inputs, a fuzzy statistical arbitrage framework, Journal of Intelligent & Fuzzy Systems, January 2020, IOS Press, DOI: 10.3233/jifs-179442.
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