Optimising Order Splitting and Execution with Fuzzy Logic Momentum Analysis

摘要: This study proposes a new framework for high frequency trading using fuzzy logic based momentum analysis system. An order placement strategy will be developed and optimised with adaptive neuro inference in to analyse the current “momentum” time series identify market condition which then used decide dynamic participation rate given traded volume. The system was applied of financial stocks, tested against standard volume results show how proposed Fuzzy Logic Momentum Analysis System outperforms systems that are widely industry.