Enhancing High-Frequency Order Placement Strategies with Fuzzy Logic and Fuzzy Inference

摘要

The problem of optimal order execution has been a main concern for financial trading and brokerage firms for decades. The idea of executing a client’s order to buy or sell a pre-specified number of shares at a price better than all other competitors seems intriguing. This paper introduces a system that utilises fuzzy logic in order to capture the current market condition generated by the accumulation of momentum. The proposed fuzzy logic momentum analysis system outperforms the traditional systems used in industry, which are often based on executing orders dependent on the weighted average of the current volume. The system proves that, on average, it increases profitability on orders on both the buy and sell sides.