A refined fuzzy time series model for stock market forecasting

作者：Jilani Tahseen Ahmed^*; Burney Syed Muhammad Aqil

来源：Physica A: Statistical Mechanics and Its Applications , 2008, 387(12): 2857-2862.

DOI：10.1016/j.physa.2008.01.099

• frequency-density-based partitioning
• fuzzy time series
• fuzzy logical relationship groups (FLRGs)
• fuzzy aggregation operations
• heuristic trend estimation

Time series models have been used to make predictions of stock prices, academic enrollments, weather, road accident casualties, etc. In this paper we present a simple time-variant fuzzy time series forecasting method. The proposed method uses heuristic approach to define frequency-density-based partitions of the universe of discourse. We have proposed a fuzzy metric to use the frequency-density-based partitioning. The proposed fuzzy metric also uses a trend predictor to calculate the forecast. The new method is applied for forecasting TAIEX and enrollments' forecasting of the University of Alabama. It is shown that the proposed method work with higher accuracy as compared to other fuzzy time series methods developed for forecasting TAIEX and enrollments of the University of Alabama.

• 出版日期2008-5-1