Fuzzy time-series based on adaptive expectation model for TAIEX forecasting

被引：135

作者：

Cheng, Ching-Hsue ^{[1
]}

Chen, Tai-Liang ^{[1
]}

Teoh, Hia Jong ^{[1
,2
]}

Chiang, Chen-Han ^{[1
]}

机构：

[1] Natl Yunlin Univ Sci & Technol, Dept Informat Management, Touliu 64002, Yunlin, Taiwan

[2] Ling Tung Univ, Dept Accounting Informat, Taichung 408, Taiwan

来源：

EXPERT SYSTEMS WITH APPLICATIONS | 2008年 / 34卷 / 02期

关键词：

fuzzy time-series model; adaptive expectation model; TAIEX forecasting; fuzzy linguistic variable; ENROLLMENTS;

D O I：

10.1016/j.eswa.2006.12.021

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Time-series models have been used to make predictions in the areas of stock price forecasting, academic enrollment and weather, etc. However, in stock markets, reasonable investors will modify their forecasts based on recent forecasting errors. Therefore, we propose a new fuzzy time-series model which incorporates the adaptive expectation model into forecasting processes to modify forecasting errors. Using actual trading data from Taiwan Stock Index (TAIEX) and, we evaluate the accuracy of the proposed model by comparing our forecasts with those derived from Chen's [Chen, S. M. (1996). Forecasting enrollments based on fuzzy time-series, Fuzzy Sets and Systems, 81, 311-319] and Yu's [Yu, Hui-Kuang. (2004). Weighted fuzzy time-series models for TAIEX forecasting. Physica A, 349, 609-624] models. The comparison results indicate that our model surpasses in accuracy those suggested by Chen and Yu. (C) 2007 Published by Elsevier Ltd.

引用

页码：1126 / 1132

页数：7

共 20 条

[1] Forecasting enrollments based on fuzzy time series [J].