Decision-Making Process Using Neuro-Fuzzy Model for Capital Market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F19%3APU131991" target="_blank" >RIV/00216305:26510/19:PU131991 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Decision-Making Process Using Neuro-Fuzzy Model for Capital Market
Original language description
The paper discusses the proposal of a neuro-fuzzy model as support in decision-making on investments in exchange traded funds (ETF) focused on the real estate sector and listed on the American exchange. The created model is based on the neuro-fuzzy inference system (ANFIS). The methods of analysis, synthesis and mathematical neuro-fuzzy modelling were used to achieve the goal. Selected financial indicators represent the fuzzy system input. Based on the Gauss membership function, the neural network generates the fuzzy rules. The model output is a signal to buy or sell the ETF stock. The paper aims to create a suitable model for decision-making on investments in analyzed investment instruments based on selected financial indicators. The proposed neuro-fuzzy decision-making model consists of 4 input variables, one rule block (with 81 fuzzy rules) and one output variable (to invest or not to invest). The input variables and the output variable have three attributes (L – large, M – medium, S – small). The created ANFIS model is a suitable tool for investment decisions on buying or selling ETF stock. The model significance lies mostly in the fact it provides the expert analyst or potential investor with enough space to express and incorporate their subjective evaluation in the model. The paper discussed the proposal of a neuro-fuzzy model as support in decision-making on ETF investment opportunities listed on the American market. For further research, the proposed model should be extended by other significant fundamental indicators, possibly incorporate technical and psychological indicators and monitor the strength of the revised model in other capital markets as well.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Perspectives of Business and Entrepreneurship Development in Digital Transformation of Corporate Business
ISBN
978-80-214-5756-0
ISSN
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e-ISSN
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Number of pages
197
Pages from-to
175-182
Publisher name
Faculty of Business and Management, Brno University of Technology
Place of publication
Brno, Czech Republic
Event location
Fakulta podnikatelská VUT v Brně
Event date
Apr 30, 2019
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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