TY - GEN
T1 - Modified TSK fuzzy system in stock price forecasting
AU - Liu, Xiangdong
PY - 2010
Y1 - 2010
N2 - This paper proposes a modified version of TSK fuzzy system, called C - ascending TSK fuzzy system, to model stock price. The C - ascending TSK fuzzy system is obtained by a simple modification of the weighted membership function in TSK fuzzy system, where the recent errors are penalized more heavily than the distant errors. This procedure is based on the prior knowledge that in the non-stationary financial time series the dependency between input variables and output variables gradually changes over the time, especially, the recent past data could provide more important information than the distant past data. In the experiment, C - ascending TSK fuzzy system is tested using the Standard&Poor 500 sock index(CME-SP). It is shown that theC - ascending TSK fuzzy system with the actually ordered sample data consistently forecast is better than the standard TSK fuzzy system.
AB - This paper proposes a modified version of TSK fuzzy system, called C - ascending TSK fuzzy system, to model stock price. The C - ascending TSK fuzzy system is obtained by a simple modification of the weighted membership function in TSK fuzzy system, where the recent errors are penalized more heavily than the distant errors. This procedure is based on the prior knowledge that in the non-stationary financial time series the dependency between input variables and output variables gradually changes over the time, especially, the recent past data could provide more important information than the distant past data. In the experiment, C - ascending TSK fuzzy system is tested using the Standard&Poor 500 sock index(CME-SP). It is shown that theC - ascending TSK fuzzy system with the actually ordered sample data consistently forecast is better than the standard TSK fuzzy system.
KW - Stock price forcasting
KW - TSK fuzzy system
UR - https://www.scopus.com/pages/publications/78650274111
U2 - 10.1109/ICIFE.2010.5609436
DO - 10.1109/ICIFE.2010.5609436
M3 - Conference contribution
AN - SCOPUS:78650274111
SN - 9781424469253
T3 - Proceedings - 2010 2nd IEEE International Conference on Information and Financial Engineering, ICIFE 2010
SP - 621
EP - 624
BT - Proceedings - 2010 2nd IEEE International Conference on Information and Financial Engineering, ICIFE 2010
T2 - 2010 2nd IEEE International Conference on Information and Financial Engineering, ICIFE 2010
Y2 - 17 September 2010 through 19 September 2010
ER -