Improving risk-adjusted performance in high-frequency trading

238 Pages·2016·3.95 MB·English

by  Vincent Vella

Improving risk-adjusted performance in
high-frequency trading: the role of
fuzzy logic systems
Vincent Vella
Centre for Computational Finance and Economic Agents (CCFEA)
University of Essex
This dissertation is submitted for the degree of
Doctor of Philosophy
CCFEA June 2016

Iwouldliketodedicatethisthesistomylovingparents...

Declaration
I hereby declare that except where specific reference is made to the work of others, the
contents of this dissertation are original and have not been submitted in whole or in part
forconsiderationforanyotherdegreeorqualificationinthis,oranyotheruniversity. This
dissertation is my own work and contains nothing which is the outcome of work done in
collaborationwithothers,exceptasspecifiedinthetextandAcknowledgements.
VincentVella
June2016

Related Publications
Vella, V. and Ng, W. L. (2014a). Enhancing risk-adjusted performance of stock market
intradaytradingwithNeuro-Fuzzysystems. Neurocomputing,141:170–187.
Vella,V.andNg,W.L.(2014b). Enhancingintradaytradingperformanceofneuralnetwork
usingdynamicvolatilityclusteringfuzzyfilter. InProceedingsofthe2014IEEEConference
onComputationalIntelligenceforFinancialEngineering&Economics(CIFEr),London,
pages465–472. IEEE.
Vella, V. and Ng, W. L. (2015). A Dynamic Fuzzy Money Management Approach for
Controllingthe Intraday Risk-adjustedPerformanceof AITrading Algorithms. Intelligent
SystemsinAccounting,FinanceandManagement,22(2):153-178.
Vella, V. and Ng, W. L. (2016). Improving Risk-adjusted Performance in High Frequency
TradingUsingIntervalType-2FuzzyLogic. ExpertSystemswithApplications,55:70-86.

Acknowledgements
My most heartfelt thanks must go to my supervisor, Dr. Wing Lon Ng. His deep insight,
admirablededication,disciplinedandstructuredapproach,andkeeneyefordetailwerenot
justkeyattributesthatassistedmeinthecompletionofthisthesis, buthavealsoinspiredme
withinvaluablelifelessons. ForthisIamforeverinhisdebt.
IwouldalsoliketothankProf. EdwardTsangforhisassistanceanddirection,especially
towardstheendofmyjourney. Iwillremaingratefulforhisguidance.
My appreciation also goes towards Prof. Hani Hagras for his valuable feedback and
helpfuldiscussions.
Lastbutnotleast,thisthesiswouldnothavebeenpossiblewithoutthepersonwhowas
alwaysbehindme-mywifeMaryAnn. Herunconditionalsupportwasalwaysasourceof
encouragementthatkeptmegoingbothinthehighsandlowsthatgowithresearch.