OWA-based ANFIS model for TAIEX forecasting

Ching-Hsue Cheng, Liang-Ying Wei, Jing-Wei Liu and Tai-Liang Chen

Economic Modelling, 2013, vol. 30, issue C, 442-448

Abstract: In stock market forecasting, high-order time-series models that use previous several periods of stock prices as forecast factors are more reasonable to provide a superior investment portfolio for investors than one-order time-series models using one previous period of stock prices. However, in forecasting processes, it is difficult to deal with high-order stock data, because it is hard to give a proper weight to each period of past stock price, reduce data dimensions without losing stock information, and produce a comprehensive forecasting result based on stock data with nonlinear relationships.

Keywords: OWA operator; TAIEX forecasting; ANFIS (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:30:y:2013:i:c:p:442-448

DOI: 10.1016/j.econmod.2012.09.047

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