Wrapper ANFIS-ICA method to do stock market timing and feature selection on the basis of Japanese Candlestick

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86094757" target="_blank" >RIV/61989100:27510/15:86094757 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.eswa.2015.08.010" target="_blank" >http://dx.doi.org/10.1016/j.eswa.2015.08.010</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eswa.2015.08.010" target="_blank" >10.1016/j.eswa.2015.08.010</a>

Result language
angličtina
Original language name
Wrapper ANFIS-ICA method to do stock market timing and feature selection on the basis of Japanese Candlestick
Original language description
Predicting stock prices is an importanto bjective in the financial world. This paper presents a novel forecasting model for stock markets on the basis of the wrapper ANFIS (Adaptive Neural Fuzzy Inference System) -ICA (Imperialist Competitive Algorithm)and technical analysis of Japanese Candlestick. Two approaches of Raw-based and Signal-based are devised to extract the model's input variables with 15 and 24 features, respectively. The correct predictions percentages for periods of 1-6 days with the total number of buy and sell signals are considered as output variables. In proposed model, the ANFIS prediction results are used as a cost function of wrapper model and ICA isused to select the most appropriate features. This novel combination of featureselection not only takes advantage of ICA optimization swiftness, but also the ANFIS prediction accuracy. The emitted buy and sell signals of the model revealed that Signal databases approach gets better results with 87% prediction accura
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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