Name
Title | ||
|---|---|---|
Evolving and clustering fuzzy decision tree for financial time series data forecasting |
Abstract | ||
|---|---|---|
Stock price predictions have always been a subject of interest for investors and professional analysts. Nevertheless, determining the best time to buy or sell a stock remains very difficult because there are many factors that may influence the stock prices. This paper establishes a novel financial time series-forecasting model by evolving and clustering fuzzy decision tree for stocks in Taiwan Stock Exchange Corporation (TSEC). This forecasting model integrates a data clustering technique, a fuzzy decision tree (FDT), and genetic algorithms (GA) to construct a decision-making system based on historical data and technical indexes. The set of historical data is divided into k sub-clusters by adopting K-means algorithm. GA is then applied to evolve the number of fuzzy terms for each input index in FDT so the forecasting accuracy of the model can be further improved. A different forecasting model will be generated for each sub-cluster. In other words, the number of fuzzy terms in each sub-cluster will be different. Hit rate is applied as a performance measure and the proposed GAFDT model has the best performance of 82% average hit rate when compared with other approaches on various stocks in TSEC. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1016/j.eswa.2008.02.025 | Expert Syst. Appl. |
Keywords | Field | DocType |
forecasting accuracy,various stock,step-wise regression,fuzzy term,stock price forecasting,fuzzy decision tree,genetic algorithm,fuzzy theory,decision tree,historical data,different forecasting model,proposed gafdt model,financial time series data,stock price prediction,forecasting model,stock price,turning points,step wise regression,k means algorithm,indexation,data clustering | Hit rate,Data mining,Time series,Decision tree,Computer science,Fuzzy logic,Stock exchange,Stock (geology),Finance,Cluster analysis,Genetic algorithm | Journal |
Volume | Issue | ISSN |
36 | 2 | Expert Systems With Applications |
Citations | PageRank | References |
53 | 1.69 | 33 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| K. Robert Lai | 1 | 263 | 26.04 |
| Chin-Yuan Fan | 2 | 473 | 28.27 |
| Wei-Hsiu Huang | 3 | 92 | 5.01 |
| Pei-Chann Chang | 4 | 1752 | 109.32 |