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Optimization and statistical tools for automatic trading in the stock and currency market

Grant number: 16/10431-7
Support Opportunities:Scholarships in Brazil - Post-Doctoral
Effective date (Start): July 01, 2016
Effective date (End): December 20, 2017
Field of knowledge:Physical Sciences and Mathematics - Mathematics - Applied Mathematics
Principal Investigator:Geraldo Nunes Silva
Grantee:José Augusto Fiorucci
Host Institution: Instituto de Biociências, Letras e Ciências Exatas (IBILCE). Universidade Estadual Paulista (UNESP). Campus de São José do Rio Preto. São José do Rio Preto , SP, Brazil
Associated research grant:13/07375-0 - CeMEAI - Center for Mathematical Sciences Applied to Industry, AP.CEPID


The use of software for automatic trading on stock and currency exchange (forex) is growing up fast over the world. Some estimatives say that the rate of automatic trading is already about 80% on developed countries, while for Brazil and other developing countries this rate is just about 15%. However, there is a great potential to expect a quick increase in this rate as more safe and profitable methodologies became available.These softwares, usually called robots or expert advisors, are based on observation and interpretation of signals, statistical models and artificial intelligence methodologies, among others.This project focus on developing models and statistical tests to match, evaluate and optimize several strategies based on signals of different methods of technical analysis in finance, usually used in stock market. The methodologies and the resulting algorithms will be implemented for investment trading automation in the stock market values, indices, commodities and currency exchange. We also plan to develop an investment broker company focused on micro-investors and low-incoming people. (AU)

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Scientific publications
(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)
FIORUCCI, JOSE AUGUSTO; SILVA, GERALDO NUNES; BARBOZA, FLAVIO. Reaction trend system with GARCH quantiles as action points. EXPERT SYSTEMS WITH APPLICATIONS, v. 198, p. 8-pg., . (16/10431-7, 13/07375-0)
FIORUCCI, JOSE AUGUSTO; SILVA, GERALDO NUNES; BARBOZA, FLAVIO. RTS: Expert advisor for reaction trend system. SOFTWARE IMPACTS, v. 13, p. 3-pg., . (13/07375-0, 16/10431-7)

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