A fuzzy method for evaluating similar behavior between assets
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61988987%3A17610%2F21%3AA220292V" target="_blank" >RIV/61988987:17610/21:A220292V - isvavai.cz</a>
Result on the web
<a href="https://link.springer.com/article/10.1007/s00500-021-05639-y" target="_blank" >https://link.springer.com/article/10.1007/s00500-021-05639-y</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00500-021-05639-y" target="_blank" >10.1007/s00500-021-05639-y</a>
Alternative languages
Result language
angličtina
Original language name
A fuzzy method for evaluating similar behavior between assets
Original language description
In this paper, we propose a fuzzy method to investigate the interconnection between equity markets in the form of similar behavior. It has been proved before that the trend cycle of time series can be well estimated using the fuzzy transform. In the suggested method, first, we approximate the local behavior of stocks as a sequence of their trend cycles. Then we measure the distance between these local trend cycles conducting similar practices between different assets. Two experiments are performed to demonstrate the advantages of the suggested method. This method is easy to calculate, well interpretable, and in addition to statistical co-relation, the measure can assist investors in gaining more intuition about the behavior of their assets.
Czech name
—
Czech description
—
Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10200 - Computer and information sciences
Result continuities
Project
<a href="/en/project/GA18-13951S" target="_blank" >GA18-13951S: New approaches to financial time series modelling based on soft computing</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Soft Computing
ISSN
1432-7643
e-ISSN
1433-7479
Volume of the periodical
25
Issue of the periodical within the volume
12
Country of publishing house
DE - GERMANY
Number of pages
11
Pages from-to
7813-7823
UT code for WoS article
000626804000003
EID of the result in the Scopus database
2-s2.0-85102357118