Neural network-based fuzzy auto-regressive models of different orders to forecast Taiwan stock index

Tiffany Hui-Kuang Yu, Kun-Huang Huarng and Rapon Rianto

International Journal of Economics and Business Research, 2009, vol. 1, issue 3, pages 347-358

Abstract: This article proposes the use of a fuzzy time series model based on neural networks that are intended to calculate the complicated fuzzy relationships among observations. The Taiwan stock exchange capitalisation weighted stock index is used as the forecasting target. Various parameters such as the order of the time series the threshold for defuzzification, and the in-sample estimation results are used to determine the proper models for out-of-sample forecasting.

Keywords: forecasting; fuzzy sets; neural networks; orders; thresholds; autoregressive modelling; Taiwan stock exchange; fuzzy logic (search for similar items in EconPapers)
Date: 2009
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