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Evolutionary computation with multi-variates hybrid multi-order fuzzy time series for stock forecasting
Shanhong Wan1; Defu Zhang1; Yain-Whar Si2
2015
Conference NameIEEE 17th International Conference on Computational Science and Engineering (CSE)
Source Publication2014 IEEE 17th International Conference on Computational Science and Engineering
Pages217-223
Conference Date19-21 Dec. 2014
Conference PlaceChengdu, China
Abstract

Financial time series forecasting has attracted substantial attention among data mining community for many years. However, achieving a reasonable accuracy in forecasting is a difficult task and extremely challenging for the researchers. Investors often use technical indicators to analyze stock market tendency and make decisions. In this paper, a new method called RPRS for stock forecasting is presented based on combing multi-variates hybrid multi-order fuzzy time series with the genetic algorithm. In our approach, technical indicators such as ROC, PSY, RSI and STOD are used as the dependent variables to improve performance. RPRS applies hybrid multi-order fuzzy time series (1-order, 2-order and 3-order) to forecast future stock prices and uses the genetic algorithm to search for a good domain partition. In order to evaluate the performance of RPRS, univariate fuzzy time series models and three classic fuzzy time series models are selected for comparison based on TAIEX, HSI and NASDAQ data. Experiment results show that RPRS performs better than other models.

KeywordGenetic Algorithm Multi-variates Hybrid Multiorder Fuzzy Time Series Stock Forecasting
DOI10.1109/CSE.2014.71
URLView the original
Indexed BySCI
Language英语
WOS Research AreaEngineering
WOS SubjectEngineering, Electrical & Electronic
WOS IDWOS:000380512100037
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Citation statistics
Cited Times [WOS]:1   [WOS Record]     [Related Records in WOS]
Document TypeConference paper
CollectionDEPARTMENT OF COMPUTER AND INFORMATION SCIENCE
Affiliation1.Department of Computer Science Xiamen University Xiamen, China
2.Department of Computer and Information Science University of Macau Macau, China
Recommended Citation
GB/T 7714
Shanhong Wan,Defu Zhang,Yain-Whar Si. Evolutionary computation with multi-variates hybrid multi-order fuzzy time series for stock forecasting[C],2015:217-223.
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