Welcome to the InfoSci Platform
Reference Hub3
Constructing Structural Equation Model Rule-Based Fuzzy System with Genetic Algorithm

Constructing Structural Equation Model Rule-Based Fuzzy System with Genetic Algorithm

EnDer Su, Thomas W. Knowles, Yu-Gin Fen
Copyright: © 2016 |Volume: 7 |Issue: 2 |Pages: 20
ISSN: 1947-8569|EISSN: 1947-8577|EISBN13: 9781466690851|DOI: 10.4018/IJSDS.2016040105
Cite Article Cite Article

MLA

Su, EnDer, et al. "Constructing Structural Equation Model Rule-Based Fuzzy System with Genetic Algorithm." IJSDS vol.7, no.2 2016: pp.69-88. http://doi.org/10.4018/IJSDS.2016040105

APA

Su, E., Knowles, T. W., & Fen, Y. (2016). Constructing Structural Equation Model Rule-Based Fuzzy System with Genetic Algorithm. International Journal of Strategic Decision Sciences (IJSDS), 7(2), 69-88. http://doi.org/10.4018/IJSDS.2016040105

Chicago

Su, EnDer, Thomas W. Knowles, and Yu-Gin Fen. "Constructing Structural Equation Model Rule-Based Fuzzy System with Genetic Algorithm," International Journal of Strategic Decision Sciences (IJSDS) 7, no.2: 69-88. http://doi.org/10.4018/IJSDS.2016040105

Export Reference

Mendeley
Favorite Full-Issue Download

Abstract

The present study uses the structural equation model (SEM) to analyze the correlations between various economic indices pertaining to latent variables, such as the New Taiwan Dollar (NTD) value, the United States Dollar (USD) value, and USD index. In addition, a risk factor of volatility of currency returns is considered to develop a risk-controllable fuzzy inference system. The rational and linguistic knowledge-based fuzzy rules are established based on the SEM model and then optimized using the genetic algorithm. The empirical results reveal that the fuzzy logic trading system using the SEM indeed outperforms the buy-and-hold strategy. Moreover, when considering the risk factor of currency volatility, the performance appears significantly better. Remarkably, the trading strategy is apparently affected when the USD value or the volatility of currency returns shifts into either a higher or lower state.

Request Access

You do not own this content. Please login to recommend this title to your institution's librarian or purchase it from the IGI Global bookstore.