Applied Rough Set Logics for Multi-Criteria Decision Analysis in Stock Index Volatility Projection

Wen-Rong Jerry Ho ()
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Wen-Rong Jerry Ho: Department of Banking & Finance, Chinese Culture University, 55, Hwa-Kang Road, Yang-Ming-Shan, Taipei 111, Taiwan

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2011, vol. 14, issue 04, 715-735

Abstract: The main purpose of this paper is to advocate a rule-based forecasting technique for anticipating stock index volatility. This paper intends to set up a stock index indicators projection prototype by using a multiple criteria decision making model consisting of the cluster analysis (CA) technique and Rough Set Theory (RST) to select the important attributes and forecast TSEC Capitalization Weighted Stock Index. The projection prototype was then released to forecast the stock index in the first half of 2009 with an accuracy of 66.67%. The results point out that the decision rules were authenticated to employ in forecasting the stock index volatility appropriately.

Keywords: Stock index volatility; cluster analysis (CA); rough set theory (RST); multiple criteria decision making (MCDM) (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1142/S0219091511002378

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