Fractal-Based Robotic Trading Strategies Using Detrended Fluctuation Analysis and Fractional Derivatives: A Case Study in the Energy Market
This paper presents an integrated robotic trading strategy developed for the day-ahead energy market that includes different methods for time series analysis and forecasting, such as Detrended Fluctuation Analysis (DFA), Rescaled Range Analysis (R/S analysis), fractional derivatives, Long Short-Term...
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| Format: | Article |
| Language: | English |
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MDPI AG
2024-12-01
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| Series: | Fractal and Fractional |
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| Online Access: | https://www.mdpi.com/2504-3110/9/1/5 |
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| author | Ekaterina Popovska Galya Georgieva-Tsaneva |
| author_facet | Ekaterina Popovska Galya Georgieva-Tsaneva |
| author_sort | Ekaterina Popovska |
| collection | DOAJ |
| description | This paper presents an integrated robotic trading strategy developed for the day-ahead energy market that includes different methods for time series analysis and forecasting, such as Detrended Fluctuation Analysis (DFA), Rescaled Range Analysis (R/S analysis), fractional derivatives, Long Short-Term Memory (LSTM) Networks, and Seasonal Autoregressive Integrated Moving Average (SARIMA) models. DFA and R/S analysis may capture the long-range dependencies and fractal features inherited by the nature of the electricity price time series and give information about persistence and variability in their behavior. Given this, fractional derivatives can be used to analyze price movements concerning the minor changes in price and time acceleration for that change, which makes the proposed framework more flexible for quickly changing market conditions. LSTM, from their perspective, may capture complex and non-linear dependencies, while SARIMA models may help handle seasonal trends. This integrated approach improves market signal interpretation and optimizes the market risk through adjustable stop-loss and take-profit levels which could lead to better portfolio performance. The proposed integrated strategy is based on actual data from the Bulgarian electricity market for the years 2017–2024. Findings from this research show how the combination of fractals with statistical and machine learning models can improve complex trading strategies implementation for the energy markets. |
| format | Article |
| id | doaj-art-e7d03782fa0a430cb13082a4565d58e3 |
| institution | Kabale University |
| issn | 2504-3110 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Fractal and Fractional |
| spelling | doaj-art-e7d03782fa0a430cb13082a4565d58e32025-01-24T13:33:20ZengMDPI AGFractal and Fractional2504-31102024-12-0191510.3390/fractalfract9010005Fractal-Based Robotic Trading Strategies Using Detrended Fluctuation Analysis and Fractional Derivatives: A Case Study in the Energy MarketEkaterina Popovska0Galya Georgieva-Tsaneva1Institute of Robotics, Bulgarian Academy of Sciences, 1113 Sofia, BulgariaInstitute of Robotics, Bulgarian Academy of Sciences, 1113 Sofia, BulgariaThis paper presents an integrated robotic trading strategy developed for the day-ahead energy market that includes different methods for time series analysis and forecasting, such as Detrended Fluctuation Analysis (DFA), Rescaled Range Analysis (R/S analysis), fractional derivatives, Long Short-Term Memory (LSTM) Networks, and Seasonal Autoregressive Integrated Moving Average (SARIMA) models. DFA and R/S analysis may capture the long-range dependencies and fractal features inherited by the nature of the electricity price time series and give information about persistence and variability in their behavior. Given this, fractional derivatives can be used to analyze price movements concerning the minor changes in price and time acceleration for that change, which makes the proposed framework more flexible for quickly changing market conditions. LSTM, from their perspective, may capture complex and non-linear dependencies, while SARIMA models may help handle seasonal trends. This integrated approach improves market signal interpretation and optimizes the market risk through adjustable stop-loss and take-profit levels which could lead to better portfolio performance. The proposed integrated strategy is based on actual data from the Bulgarian electricity market for the years 2017–2024. Findings from this research show how the combination of fractals with statistical and machine learning models can improve complex trading strategies implementation for the energy markets.https://www.mdpi.com/2504-3110/9/1/5fractal analysisfractional derivativesalgorithmic tradingenergy marketfinancial modelingrisk management |
| spellingShingle | Ekaterina Popovska Galya Georgieva-Tsaneva Fractal-Based Robotic Trading Strategies Using Detrended Fluctuation Analysis and Fractional Derivatives: A Case Study in the Energy Market Fractal and Fractional fractal analysis fractional derivatives algorithmic trading energy market financial modeling risk management |
| title | Fractal-Based Robotic Trading Strategies Using Detrended Fluctuation Analysis and Fractional Derivatives: A Case Study in the Energy Market |
| title_full | Fractal-Based Robotic Trading Strategies Using Detrended Fluctuation Analysis and Fractional Derivatives: A Case Study in the Energy Market |
| title_fullStr | Fractal-Based Robotic Trading Strategies Using Detrended Fluctuation Analysis and Fractional Derivatives: A Case Study in the Energy Market |
| title_full_unstemmed | Fractal-Based Robotic Trading Strategies Using Detrended Fluctuation Analysis and Fractional Derivatives: A Case Study in the Energy Market |
| title_short | Fractal-Based Robotic Trading Strategies Using Detrended Fluctuation Analysis and Fractional Derivatives: A Case Study in the Energy Market |
| title_sort | fractal based robotic trading strategies using detrended fluctuation analysis and fractional derivatives a case study in the energy market |
| topic | fractal analysis fractional derivatives algorithmic trading energy market financial modeling risk management |
| url | https://www.mdpi.com/2504-3110/9/1/5 |
| work_keys_str_mv | AT ekaterinapopovska fractalbasedrobotictradingstrategiesusingdetrendedfluctuationanalysisandfractionalderivativesacasestudyintheenergymarket AT galyageorgievatsaneva fractalbasedrobotictradingstrategiesusingdetrendedfluctuationanalysisandfractionalderivativesacasestudyintheenergymarket |