A stock market trading system based on foreign and domestic information

作者：

Highlights：

• A stock market trading system based on fuzzy logic rules is proposed.

• Application covers data from American, European and Australasian stock markets.

• Direct and indirect channels of foreign information transmission are investigated.

• Foreign markets signals are designed to interact with domestic market momentum.

• Most profitable trades rely on signals of low-to-medium daily return magnitude.

摘要

•A stock market trading system based on fuzzy logic rules is proposed.•Application covers data from American, European and Australasian stock markets.•Direct and indirect channels of foreign information transmission are investigated.•Foreign markets signals are designed to interact with domestic market momentum.•Most profitable trades rely on signals of low-to-medium daily return magnitude.

论文关键词：Stock market trading,Information transmission,Fuzzy system rules,Stock trading system design,System testing and performance evaluation,Stock market forecasting

论文评审过程：Received 14 May 2018, Revised 2 July 2018, Accepted 2 August 2018, Available online 3 August 2018, Version of Record 18 October 2018.

论文官网地址：https://doi.org/10.1016/j.eswa.2018.08.005