Type-2 Fuzzy Expert System Approach for Decision-Making of Financial Assets and Investing under Different Uncertainty

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26510%2F21%3APU141071" target="_blank" >RIV/00216305:26510/21:PU141071 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.hindawi.com/journals/mpe/2021/3839071/" target="_blank" >https://www.hindawi.com/journals/mpe/2021/3839071/</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1155/2021/3839071" target="_blank" >10.1155/2021/3839071</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Type-2 Fuzzy Expert System Approach for Decision-Making of Financial Assets and Investing under Different Uncertainty

Popis výsledku v původním jazyce

Extensive research results of stock market time series using classical fuzzy sets (type-1) are available in the literature. However, type-1 fuzzy sets cannot fully capture the uncertainty associated with stock market developments due to their limited descriptiveness. This paper fills a scientific gap and focuses on type-2 fuzzy logic applied to stock markets. Type-2 fuzzy sets may include additional uncertainty resulting from unclear, uncertain, or inaccurate financial data through which model inputs are calculated. Here we propose four methods based on type-2 fuzzy logic, which differ in the level of uncertainty contained in fuzzy sets and compared with the type-1 fuzzy model. The case study aims to create a model to support investment decisions in Exchange-Traded Funds (ETFs) listed on international equity markets. The created models of type-2 fuzzy logic are compared with the classic type-1 fuzzy logic model. Based on the results of the comparison, it can be said that type-2 fuzzy logic with dual fuzzy sets is able to better describe data from financial time series and provides more accurate outputs. The results reflect the capability and effectiveness of the approach proposed in this document. However, the performance of type-2 fuzzy logic models decreases with the inclusion of increasing uncertainty in fuzzy sets. For further research, it would be appropriate to examine the different levels of uncertainty in the input parameters themselves and monitor the performance of such a modified model.

Název v anglickém jazyce

Type-2 Fuzzy Expert System Approach for Decision-Making of Financial Assets and Investing under Different Uncertainty

Popis výsledku anglicky

Extensive research results of stock market time series using classical fuzzy sets (type-1) are available in the literature. However, type-1 fuzzy sets cannot fully capture the uncertainty associated with stock market developments due to their limited descriptiveness. This paper fills a scientific gap and focuses on type-2 fuzzy logic applied to stock markets. Type-2 fuzzy sets may include additional uncertainty resulting from unclear, uncertain, or inaccurate financial data through which model inputs are calculated. Here we propose four methods based on type-2 fuzzy logic, which differ in the level of uncertainty contained in fuzzy sets and compared with the type-1 fuzzy model. The case study aims to create a model to support investment decisions in Exchange-Traded Funds (ETFs) listed on international equity markets. The created models of type-2 fuzzy logic are compared with the classic type-1 fuzzy logic model. Based on the results of the comparison, it can be said that type-2 fuzzy logic with dual fuzzy sets is able to better describe data from financial time series and provides more accurate outputs. The results reflect the capability and effectiveness of the approach proposed in this document. However, the performance of type-2 fuzzy logic models decreases with the inclusion of increasing uncertainty in fuzzy sets. For further research, it would be appropriate to examine the different levels of uncertainty in the input parameters themselves and monitor the performance of such a modified model.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

21101 - Food and beverages

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

MATHEMATICAL PROBLEMS IN ENGINEERING

ISSN

1024-123X

e-ISSN

1563-5147

Svazek periodika

2021

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

16

Strana od-do

1-16

Kód UT WoS článku

000669557400005

EID výsledku v databázi Scopus

2-s2.0-85108974367