Improving risk-adjusted performance in high-frequency trading: the role of fuzzy logic systems Vincent Vella Centre for Computational Finance and Economic Agents (CCFEA) University of Essex This dissertation is submitted for the degree of Doctor of Philosophy CCFEA June 2016 Iwouldliketodedicatethisthesistomylovingparents... Declaration I hereby declare that except where specific reference is made to the work of others, the contents of this dissertation are original and have not been submitted in whole or in part forconsiderationforanyotherdegreeorqualificationinthis,oranyotheruniversity. This dissertation is my own work and contains nothing which is the outcome of work done in collaborationwithothers,exceptasspecifiedinthetextandAcknowledgements. VincentVella June2016 Related Publications Vella, V. and Ng, W. L. (2014a). Enhancing risk-adjusted performance of stock market intradaytradingwithNeuro-Fuzzysystems. Neurocomputing,141:170–187. Vella,V.andNg,W.L.(2014b). Enhancingintradaytradingperformanceofneuralnetwork usingdynamicvolatilityclusteringfuzzyfilter. InProceedingsofthe2014IEEEConference onComputationalIntelligenceforFinancialEngineering&Economics(CIFEr),London, pages465–472. IEEE. Vella, V. and Ng, W. L. (2015). A Dynamic Fuzzy Money Management Approach for Controllingthe Intraday Risk-adjustedPerformanceof AITrading Algorithms. Intelligent SystemsinAccounting,FinanceandManagement,22(2):153-178. Vella, V. and Ng, W. L. (2016). Improving Risk-adjusted Performance in High Frequency TradingUsingIntervalType-2FuzzyLogic. ExpertSystemswithApplications,55:70-86. Acknowledgements My most heartfelt thanks must go to my supervisor, Dr. Wing Lon Ng. His deep insight, admirablededication,disciplinedandstructuredapproach,andkeeneyefordetailwerenot justkeyattributesthatassistedmeinthecompletionofthisthesis, buthavealsoinspiredme withinvaluablelifelessons. ForthisIamforeverinhisdebt. IwouldalsoliketothankProf. EdwardTsangforhisassistanceanddirection,especially towardstheendofmyjourney. Iwillremaingratefulforhisguidance. My appreciation also goes towards Prof. Hani Hagras for his valuable feedback and helpfuldiscussions. Lastbutnotleast,thisthesiswouldnothavebeenpossiblewithoutthepersonwhowas alwaysbehindme-mywifeMaryAnn. Herunconditionalsupportwasalwaysasourceof encouragementthatkeptmegoingbothinthehighsandlowsthatgowithresearch.