Name
Title | ||
|---|---|---|
An Intelligent and Hybrid Weighted Fuzzy Time Series Model Based on Empirical Mode Decomposition for Financial Markets Forecasting. |
Abstract | ||
|---|---|---|
Given the potentially high impact of accurate financial market forecasting, there has been considerable research on time series analysis for financial markets. We present a new Intelligent Hybrid Weighted Fuzzy (IHWF) time series model to improve forecasting accuracy in financial markets, which are complex nonlinear time-sensitive systems, influenced by many factors. The IHWF model uniquely combines Empirical Mode Decomposition (EMD) with a novel weighted fuzzy time series method. The model is enhanced by an Adaptive Sine-Cosine Human Learning Optimization (ASCHLO) algorithm to help find optimal parameters that further improve forecasting performance. EMD is a time series processing technique to extract the possible modes of various kinds of institutional and individual investors and traders, embedded in a given time series. Subsequently, the proposed weighted fuzzy time series method with chronological order based frequency and Neighborhood Volatility Direction (NVD) is analyzed and integrated with ASCHLO to determine the effective universe discourse, intervals and weights. In order to evaluate the performance of proposed model, we evaluate actual trading data of Taiwan Capitalization Weighted Stock Index (TAIEX) from 1990 to 2004 and the findings are compared with other well-known forecasting models. The results show that the proposed method outperforms the listing models in terms of accuracy. |
Year | DOI | Venue |
|---|---|---|
2018 | 10.1007/978-3-319-95786-9_8 | ADVANCES IN DATA MINING: APPLICATIONS AND THEORETICAL ASPECTS (ICDM 2018) |
Keywords | Field | DocType |
EMD,Weighted fuzzy time series,Human learning optimization algorithm,Financial markets forecasting | Econometrics,Time series,Nonlinear system,Stock market index,Computer science,Fuzzy logic,Human learning,Financial market,Volatility (finance),Hilbert–Huang transform | Conference |
Volume | ISSN | Citations |
10933 | 0302-9743 | 1 |
PageRank | References | Authors |
0.35 | 25 | 6 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Ruixin Yang | 1 | 201 | 31.97 |
| Junyi He | 2 | 2 | 0.70 |
| Mingyang Xu | 3 | 2 | 1.37 |
| Haoqi Ni | 4 | 37 | 3.61 |
| Paul Jones | 5 | 7 | 3.51 |
| Nagiza F. Samatova | 6 | 861 | 74.04 |