Residential College | false |
Status | 已發表Published |
Evolutionary computation with multi-variates hybrid multi-order fuzzy time series for stock forecasting | |
Shanhong Wan1; Defu Zhang1; Yain-Whar Si2 | |
2015 | |
Conference Name | IEEE 17th International Conference on Computational Science and Engineering (CSE) |
Source Publication | 2014 IEEE 17th International Conference on Computational Science and Engineering |
Pages | 217-223 |
Conference Date | 19-21 Dec. 2014 |
Conference Place | Chengdu, China |
Abstract | Financial time series forecasting has attracted substantial attention among data mining community for many years. However, achieving a reasonable accuracy in forecasting is a difficult task and extremely challenging for the researchers. Investors often use technical indicators to analyze stock market tendency and make decisions. In this paper, a new method called RPRS for stock forecasting is presented based on combing multi-variates hybrid multi-order fuzzy time series with the genetic algorithm. In our approach, technical indicators such as ROC, PSY, RSI and STOD are used as the dependent variables to improve performance. RPRS applies hybrid multi-order fuzzy time series (1-order, 2-order and 3-order) to forecast future stock prices and uses the genetic algorithm to search for a good domain partition. In order to evaluate the performance of RPRS, univariate fuzzy time series models and three classic fuzzy time series models are selected for comparison based on TAIEX, HSI and NASDAQ data. Experiment results show that RPRS performs better than other models. |
Keyword | Genetic Algorithm Multi-variates Hybrid Multiorder Fuzzy Time Series Stock Forecasting |
DOI | 10.1109/CSE.2014.71 |
URL | View the original |
Indexed By | SCIE |
Language | 英語English |
WOS Research Area | Engineering |
WOS Subject | Engineering, Electrical & Electronic |
WOS ID | WOS:000380512100037 |
Scopus ID | 2-s2.0-84925279627 |
Fulltext Access | |
Citation statistics | |
Document Type | Conference paper |
Collection | DEPARTMENT OF COMPUTER AND INFORMATION SCIENCE |
Affiliation | 1.Department of Computer Science Xiamen University Xiamen, China 2.Department of Computer and Information Science University of Macau Macau, China |
Recommended Citation GB/T 7714 | Shanhong Wan,Defu Zhang,Yain-Whar Si. Evolutionary computation with multi-variates hybrid multi-order fuzzy time series for stock forecasting[C], 2015, 217-223. |
APA | Shanhong Wan., Defu Zhang., & Yain-Whar Si (2015). Evolutionary computation with multi-variates hybrid multi-order fuzzy time series for stock forecasting. 2014 IEEE 17th International Conference on Computational Science and Engineering, 217-223. |
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