IEEE - Institute of Electrical and Electronics Engineers, Inc. - A Multicriteria Trading System Based on Singular Spectrum Analysis Trading Rules

Author(s): Michel Carlo Rodrigues Leles ; Leonardo Amaral Mozelli ; Elton Felipe Sbruzzi ; Cairo Lucio Nascimento Junior ; Homero Nogueira Guimaraes
Sponsor(s): IEEE Systems Council
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Volume: PP
Page(s): 1 - 11
ISSN (CD): 2373-7816
ISSN (Electronic): 1937-9234
ISSN (Paper): 1932-8184
DOI: 10.1109/JSYST.2019.2924390
Regular:

A new trading system (TS) is proposed in this paper, based on singular spectrum analysis (SSA) and on a decision-making process that relies on performance measures adjusted by profit and risk. The... View More

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