Ran Fang

Lisheng Jiang, Tianyu Zhang, Shiyu Yan et al.

In decision making, the cognitive fuzzy set (CFS) is a useful tool in expressing experts' complex assessments of alternatives. The distance of CFS, which plays an important role in decision analyses, is necessary when the CFS is applied in solving practical issues. However, as far as we know, the studies on the distance of CFS are few, and the current Minkowski distance of CFS ignores the hesitancy degree of CFS, which might cause errors. To fill the gap of the studies on the distance of CFS, because of the practicality of the Hausdorff distance, this paper proposes the improved cognitive fuzzy Minkowski (CF-IM) distance and the cognitive fuzzy Hausdorff (CF-H) distance to enrich the studies on the distance of CFS. It is found that the anti-perturbation ability of the CF-H distance is stronger than that of the CF-IM distance, but the information utilization of the CF-IM distance is higher than that of the CF-H distance. To balance the anti-perturbation ability and information utilization of the CF-IM distance and CF-H distance, the cognitive fuzzy combined (CF-C) distance is proposed by establishing the linear combination of the CF-IM distance and CF-H distance. Based on the CF-C distance, a combined-distanced-based score function of CFS is proposed to compare CFSs. The proposed score function is employed in lung cancer pain evaluation issues. The sensitivity and comparison analyses demonstrate the reliability and advantages of the proposed methods.

Jiahao Yang, Ran Fang, Ming Zhang et al.

In high-frequency trading (HFT), leveraging limit order books (LOB) to model stock price movements is crucial for achieving profitable outcomes. However, this task is challenging due to the high-dimensional and volatile nature of the original data. Even recent deep learning models often struggle to capture price movement patterns effectively, particularly without well-designed features. We observed that raw LOB data exhibits inherent symmetry between the ask and bid sides, and the bid-ask differences demonstrate greater stability and lower complexity compared to the original data. Building on this insight, we propose a novel approach in which leverages the Siamese architecture to enhance the performance of existing deep learning models. The core idea involves processing the ask and bid sides separately using the same module with shared parameters. We applied our Siamese-based methods to several widely used strong baselines and validated their effectiveness using data from 14 military industry stocks in the Chinese A-share market. Furthermore, we integrated multi-head attention (MHA) mechanisms with the Long Short-Term Memory (LSTM) module to investigate its role in modeling stock price movements. Our experiments used raw data and widely used Order Flow Imbalance (OFI) features as input with some strong baseline models. The results show that our method improves the performance of strong baselines in over 75$% of cases, excluding the Multi-Layer Perception (MLP) baseline, which performed poorly and is not considered practical. Furthermore, we found that Multi-Head Attention can enhance model performance, particularly over shorter forecasting horizons.