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Dans un courrier daté du 09/09/98 05:10:00 , vous avez écrit :
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Isn't all this you are talking about really called "fuzzy logic"?
Determining a behavior (represented mathematically) based on
probabilities? I know that in my industry there is this concept of
VAR, or value at risk, and all it means is that within a confidence
level, with such and such position, the current market exposure is
"X". The problem or tweaking of the numbers, comes into play to
address issues not always adequately represented in the model, such as
liquidity, and the real chance that a 1 standard deviation move will
more likely result in a 2 or 3 standard deviation move...or better
yet, nonperformance of contracting parties...I get a newsletter called
Financial Engineering...I'll see if I can get you a copy and forward
it to you..
To which my mathematician had this to say;
Yes it is fuzzy logic by fuzzy wuzzy engineers but I think such must go on
to facilitate progress. IBM had several fuzzy projects before they
perfected virtual memories. This is too rich for most traders to apply but
not for others.
Happy trading,
John Hayden
http://sente.net
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Fuzzy logic is not exactly dealing with probabilities, but with fuziness of
the variables that you consider.
A classical example is the RSI oscillator with 30 / 70 OS / OB levels.
In fact, RSI is of a poor usage with such crisp values, because the frontier
is not exactly 30 or 70, and more can vary under external circumstances.
Writing fuzzy programs means here to deal with thes subtle frontier variation
that are encompassed in the fuzzifications of the original inputs.
This is obtained by allowing a shared membership between contiguous fuzzy
sets of the indicator.
The rules that apply to the fuzzy sets are of course shared in respec to the
fuzzy set membership function.
You may test this by yourself with our free evaluation software, still
available to download from
www.sirtrade.com
Disclaimer: We are not IBM, so we do not have had to wait perfect virtual
memories.
The price of the software being 16 SP500 big points, I wonder if this one is
really prohibited to the average SP futures trader.
Sincerely,
Pierre Orphelin
www.sirtrade.com
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