Interval-valued intuitionistic fuzzy cognitive maps for stock index forecasting

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F18%3A39913511" target="_blank" >RIV/00216275:25410/18:39913511 - isvavai.cz</a>

Výsledek na webu

<a href="https://ieeexplore.ieee.org/abstract/document/8397170" target="_blank" >https://ieeexplore.ieee.org/abstract/document/8397170</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1109/EAIS.2018.8397170" target="_blank" >10.1109/EAIS.2018.8397170</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Interval-valued intuitionistic fuzzy cognitive maps for stock index forecasting

Popis výsledku v původním jazyce

There are several applications of time series forecasting for which accurate knowledge of it is not required. In those cases it is enough to deal with the approximation of time series by intervals i.e. interval-valued time series (ITS). In this paper we propose a new method for the forecasting of univariate ITS. A part of the theoretical contribution of the paper is the development of the forecasting model which is based on fuzzy cognitive maps (FCMs). Instead of fuzzy sets used in standard FCMs we apply interval-valued intuitionistic fuzzy sets as their concepts. In this way we get interval-valued intuitionistic fuzzy cognitive maps (IVI-FCMs) which we use for the forecasting of ITS. To validate IVI-FCMs we apply them for the forecasting of the ITS made up by the daily minima and maxima of Nasdaq-100 stock index. Experimental evaluation proved high efficiency of the proposed approach.

Název v anglickém jazyce

Interval-valued intuitionistic fuzzy cognitive maps for stock index forecasting

Popis výsledku anglicky

There are several applications of time series forecasting for which accurate knowledge of it is not required. In those cases it is enough to deal with the approximation of time series by intervals i.e. interval-valued time series (ITS). In this paper we propose a new method for the forecasting of univariate ITS. A part of the theoretical contribution of the paper is the development of the forecasting model which is based on fuzzy cognitive maps (FCMs). Instead of fuzzy sets used in standard FCMs we apply interval-valued intuitionistic fuzzy sets as their concepts. In this way we get interval-valued intuitionistic fuzzy cognitive maps (IVI-FCMs) which we use for the forecasting of ITS. To validate IVI-FCMs we apply them for the forecasting of the ITS made up by the daily minima and maxima of Nasdaq-100 stock index. Experimental evaluation proved high efficiency of the proposed approach.

Druh

D - Stať ve sborníku

CEP obor

—

OECD FORD obor

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Projekt

<a href="/cs/project/GA16-19590S" target="_blank" >GA16-19590S: Analýza témat a sentimentu vícenásobných textových zdrojů pro finanční rozhodování podniků</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

2018 IEEE International Conference on Evolving and Adaptive Intelligent Systems, EAIS 2018

ISBN

978-1-5386-1376-4

ISSN

2330-4863

e-ISSN

—

Počet stran výsledku

7

Strana od-do

1-7

Název nakladatele

IEEE (Institute of Electrical and Electronics Engineers)

Místo vydání

New York

Místo konání akce

Rhodos

Datum konání akce

25. 5. 2018

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000467078900001