Investment Decision Support Based on Interval Type-2 Fuzzy Expert System

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F21%3APU140764" target="_blank" >RIV/00216305:26510/21:PU140764 - isvavai.cz</a>

Výsledek na webu

<a href="https://inzeko.ktu.lt/index.php/EE/article/view/24884" target="_blank" >https://inzeko.ktu.lt/index.php/EE/article/view/24884</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.5755/j01.ee.32.2.24884" target="_blank" >10.5755/j01.ee.32.2.24884</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Investment Decision Support Based on Interval Type-2 Fuzzy Expert System

Popis výsledku v původním jazyce

The decision-making process on investing in financial markets is a very complex and difficult task, mainly due to the chaotic behavior and high uncertainty in the development of the prices of investment instruments. For this reason, financial markets are increasingly using means of artificial intelligence, namely fuzzy logic, which is able to capture the nonlinear behavior.Fuzzy logic provides a way to draw definitive conclusions from vague, ambiguous, or inaccurate information.However, there are some drawbacks associated with type-1 fuzzy logic, so the type-2 fuzzy logic comes forward, which can work with greater uncertainty. Type-2 fuzzy logic works with a new third dimension fuzzy set that provides additional degrees of freedom and allows to model and process numerical and linguistic uncertainties directly. The paper applies type-2 fuzzy logic to the stock market with the aim to create a simple and understandable model for deciding on investing in investment instruments, which is important for investors in this area. The proposed type-2 fuzzy model uses return, risk, dividend and total expense ratio of ETF as input variables. The created system is able to generate aggregated models from a certain number of language rules, which allows the investor to understand the created financial model. Using type-2 fuzzy logic can lead to more realistic and accurate results than type-1 fuzzy logic.

Název v anglickém jazyce

Investment Decision Support Based on Interval Type-2 Fuzzy Expert System

Popis výsledku anglicky

The decision-making process on investing in financial markets is a very complex and difficult task, mainly due to the chaotic behavior and high uncertainty in the development of the prices of investment instruments. For this reason, financial markets are increasingly using means of artificial intelligence, namely fuzzy logic, which is able to capture the nonlinear behavior.Fuzzy logic provides a way to draw definitive conclusions from vague, ambiguous, or inaccurate information.However, there are some drawbacks associated with type-1 fuzzy logic, so the type-2 fuzzy logic comes forward, which can work with greater uncertainty. Type-2 fuzzy logic works with a new third dimension fuzzy set that provides additional degrees of freedom and allows to model and process numerical and linguistic uncertainties directly. The paper applies type-2 fuzzy logic to the stock market with the aim to create a simple and understandable model for deciding on investing in investment instruments, which is important for investors in this area. The proposed type-2 fuzzy model uses return, risk, dividend and total expense ratio of ETF as input variables. The created system is able to generate aggregated models from a certain number of language rules, which allows the investor to understand the created financial model. Using type-2 fuzzy logic can lead to more realistic and accurate results than type-1 fuzzy logic.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50204 - Business and management

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

Engineering Economics

ISSN

1392-2785

e-ISSN

2029-5839

Svazek periodika

32

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

LT - Litevská republika

Počet stran výsledku

12

Strana od-do

118-129

Kód UT WoS článku

000646046800003

EID výsledku v databázi Scopus

2-s2.0-85105587892