A fuzzy method for evaluating similar behavior between assets

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

A fuzzy method for evaluating similar behavior between assets

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

A fuzzy method for evaluating similar behavior between assets

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10200 - Computer and information sciences

Projekt

<a href="/cs/project/GA18-13951S" target="_blank" >GA18-13951S: Nové přístupy k modelování finančních časových řad pomocí soft-computingu</a><br>

Návaznosti

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

Soft Computing

ISSN

1432-7643

e-ISSN

1433-7479

Svazek periodika

25

Číslo periodika v rámci svazku

12

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

11

Strana od-do

7813-7823

Kód UT WoS článku

000626804000003

EID výsledku v databázi Scopus

2-s2.0-85102357118