메뉴 건너뛰기




Volumn 17, Issue 3, 2015, Pages 375-389

Fuzzy Inference-Enhanced VC-DRSA Model for Technical Analysis: Investment Decision Aid

Author keywords

Fuzzy inference system (FIS); Investment decision; Knowledge retrieval; Rough set theory (RST); Soft computing; Technical analysis (TA); Variable consistency dominance based rough set approach (VC DRSA)

Indexed keywords

CLASSIFICATION (OF INFORMATION); COMMERCE; DECISION MAKING; DECISION SUPPORT SYSTEMS; DECISION THEORY; FINANCIAL MARKETS; FUZZY SYSTEMS; INVESTMENTS; ROUGH SET THEORY; SOFT COMPUTING; STATISTICAL METHODS;

EID: 84940904131     PISSN: 15622479     EISSN: 21993211     Source Type: Journal    
DOI: 10.1007/s40815-015-0058-8     Document Type: Article
Times cited : (20)

References (47)
  • 1
    • 0005650578 scopus 로고    scopus 로고
    • Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation
    • Lo, A.W., Mamaysky, H., Wang, J.: Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation. J. Financ. 55(4), 1705-1770 (2000)
    • (2000) J. Financ. , vol.55 , Issue.4 , pp. 1705-1770
    • Lo, A.W.1    Mamaysky, H.2    Wang, J.3
  • 2
    • 77955924033 scopus 로고    scopus 로고
    • The use of technical analysis by fund managers: international evidence
    • Menkhoff, L.: The use of technical analysis by fund managers: international evidence. J. Bank. Financ. 34(11), 2573-2586 (2010)
    • (2010) J. Bank. Financ. , vol.34 , Issue.11 , pp. 2573-2586
    • Menkhoff, L.1
  • 3
    • 1942495094 scopus 로고    scopus 로고
    • From efficient market theory to behavioral finance
    • Shiller, R.J.: From efficient market theory to behavioral finance. J. Econ. Perspect. 17(1), 19-33 (2003)
    • (2003) J. Econ. Perspect. , vol.17 , Issue.1 , pp. 19-33
    • Shiller, R.J.1
  • 4
    • 84977717550 scopus 로고
    • Herd on the street: informational inefficiencies in a market with short-term speculation
    • Froot, K.A., Scharfstein, D.S., Stein, J.C.: Herd on the street: informational inefficiencies in a market with short-term speculation. J. Financ. 47(4), 1461-1484 (1992)
    • (1992) J. Financ. , vol.47 , Issue.4 , pp. 1461-1484
    • Froot, K.A.1    Scharfstein, D.S.2    Stein, J.C.3
  • 5
    • 34547885376 scopus 로고    scopus 로고
    • What do we know about the profitability of technical analysis?
    • Park, C.H., Irwin, S.H.: What do we know about the profitability of technical analysis? J. Econ. Surv. 21(4), 786-826 (2007)
    • (2007) J. Econ. Surv. , vol.21 , Issue.4 , pp. 786-826
    • Park, C.H.1    Irwin, S.H.2
  • 6
    • 79959981027 scopus 로고    scopus 로고
    • A hybrid model based on adaptive-network-based fuzzy inference system to forecast Taiwan stock market
    • Wei, L.Y., Chen, T.L., Ho, T.H.: A hybrid model based on adaptive-network-based fuzzy inference system to forecast Taiwan stock market. Expert Syst. Appl. 38(11), 13625-13631 (2011)
    • (2011) Expert Syst. Appl. , vol.38 , Issue.11 , pp. 13625-13631
    • Wei, L.Y.1    Chen, T.L.2    Ho, T.H.3
  • 7
    • 25844486156 scopus 로고    scopus 로고
    • The use of data mining and neural networks for forecasting stock market returns
    • Enke, D., Thawornwong, S.: The use of data mining and neural networks for forecasting stock market returns. Expert Syst. Appl. 29(4), 927-940 (2005)
    • (2005) Expert Syst. Appl. , vol.29 , Issue.4 , pp. 927-940
    • Enke, D.1    Thawornwong, S.2
  • 8
    • 84877852473 scopus 로고    scopus 로고
    • A Bayesian regularized artificial neural network for stock market forecasting
    • Ticknor, J.L.: A Bayesian regularized artificial neural network for stock market forecasting. Expert Syst. Appl. 40(4), 5501-5506 (2013)
    • (2013) Expert Syst. Appl. , vol.40 , Issue.4 , pp. 5501-5506
    • Ticknor, J.L.1
  • 9
    • 84881246248 scopus 로고    scopus 로고
    • Dynamic-radius species-conserving genetic algorithm for the financial forecasting of Dow Jones index stocks
    • Brown, M.S., Dynamic-radius species-conserving genetic algorithm for the financial forecasting of Dow Jones index stocks. Mach. Learn. Data Min. Pattern Recognit. Lecture Notes in Computer Science, vol. 7988, pp. 27-41 (2013)
    • (2013) Mach. Learn. Data Min. Pattern Recognit. Lecture Notes in Computer Science , vol.7988 , pp. 27-41
    • Brown, M.S.1
  • 10
    • 84906947839 scopus 로고    scopus 로고
    • Stock market simulation using support vector machines
    • 3256030
    • Rosillo, R., Giner, J., Fuente, D.D.: Stock market simulation using support vector machines. J. Forecast. 33(6), 488-500 (2014)
    • (2014) J. Forecast. , vol.33 , Issue.6 , pp. 488-500
    • Rosillo, R.1    Giner, J.2    Fuente, D.D.3
  • 11
    • 0242351905 scopus 로고    scopus 로고
    • Financial time series forecasting using support vector machines
    • Kim, K.J.: Financial time series forecasting using support vector machines. Neurocomputing 55(1-2), 307-319 (2003)
    • (2003) Neurocomputing , vol.55 , Issue.1-2 , pp. 307-319
    • Kim, K.J.1
  • 12
    • 0001023715 scopus 로고    scopus 로고
    • Application of support vector machines in financial time series forecasting
    • Tay, F.E.H., Cao, L.: Application of support vector machines in financial time series forecasting. Omega 29(4), 309-317 (2001)
    • (2001) Omega , vol.29 , Issue.4 , pp. 309-317
    • Tay, F.E.H.1    Cao, L.2
  • 13
    • 58749094998 scopus 로고    scopus 로고
    • Surveying stock market forecasting techniques - Part II: soft computing methods
    • Atsalakis, G.S., Valavanis, K.P.: Surveying stock market forecasting techniques - Part II: soft computing methods. Expert Syst. Appl. 36(3 (part 2)), 5932-5941 (2009)
    • (2009) Expert Syst. Appl. , vol.36 , Issue.3 , pp. 5932-5941
    • Atsalakis, G.S.1    Valavanis, K.P.2
  • 14
    • 84877880916 scopus 로고    scopus 로고
    • Implementing value investing strategy by artificial neural network
    • Shen, K.Y.: Implementing value investing strategy by artificial neural network. Int. J. Bus. Inf. Technol. 1(1), 12-22 (2011)
    • (2011) Int. J. Bus. Inf. Technol. , vol.1 , Issue.1 , pp. 12-22
    • Shen, K.Y.1
  • 15
    • 0037117668 scopus 로고    scopus 로고
    • Investment using technical analysis and fuzzy logic
    • 1869189
    • Dourra, H., Siy, P.: Investment using technical analysis and fuzzy logic. Fuzzy Sets Syst. 127(2), 221-240 (2002)
    • (2002) Fuzzy Sets Syst. , vol.127 , Issue.2 , pp. 221-240
    • Dourra, H.1    Siy, P.2
  • 16
    • 4344664388 scopus 로고    scopus 로고
    • Can fuzzy logic make technical analysis 20/20?
    • Zhou, X.S., Dong, M.: Can fuzzy logic make technical analysis 20/20? Financ. Anal. J. 60(4), 54-75 (2004)
    • (2004) Financ. Anal. J. , vol.60 , Issue.4 , pp. 54-75
    • Zhou, X.S.1    Dong, M.2
  • 17
    • 33144486909 scopus 로고    scopus 로고
    • Stock market trading rule discovery using two-layer bias decision tree
    • Wang, J.L., Chan, S.H.: Stock market trading rule discovery using two-layer bias decision tree. Expert Syst. Appl. 30(4), 605-611 (2006)
    • (2006) Expert Syst. Appl. , vol.30 , Issue.4 , pp. 605-611
    • Wang, J.L.1    Chan, S.H.2
  • 18
    • 77957840499 scopus 로고    scopus 로고
    • An adaptive network-based fuzzy inference system (ANFIS) for the prediction of stock market return: the case of the Istanbul stock exchange
    • Boyacioglu, M.A., Avci, D.: An adaptive network-based fuzzy inference system (ANFIS) for the prediction of stock market return: the case of the Istanbul stock exchange. Expert Syst. Appl. 37(12), 7908-7912 (2010)
    • (2010) Expert Syst. Appl. , vol.37 , Issue.12 , pp. 7908-7912
    • Boyacioglu, M.A.1    Avci, D.2
  • 19
    • 76349121290 scopus 로고    scopus 로고
    • A hybrid model based on rough set theory and genetic algorithms for stock price forecasting
    • Cheng, C.H., Chen, T.L., Wei, L.Y.: A hybrid model based on rough set theory and genetic algorithms for stock price forecasting. Inf. Sci. 18(9), 1610-1629 (2010)
    • (2010) Inf. Sci. , vol.18 , Issue.9 , pp. 1610-1629
    • Cheng, C.H.1    Chen, T.L.2    Wei, L.Y.3
  • 20
    • 84869868421 scopus 로고    scopus 로고
    • Fuzzy logic, trading uncertainty and technical trading
    • Gradojevic, N., Gencay, R.: Fuzzy logic, trading uncertainty and technical trading. J. Bank. Financ 37(2), 578-586 (2013)
    • (2013) J. Bank. Financ , vol.37 , Issue.2 , pp. 578-586
    • Gradojevic, N.1    Gencay, R.2
  • 21
    • 84891061887 scopus 로고    scopus 로고
    • The rise and fall of technical trading rule success
    • Taylor, N.: The rise and fall of technical trading rule success. J. Bank. Finance 40, 286-302 (2014)
    • (2014) J. Bank. Finance , vol.40 , pp. 286-302
    • Taylor, N.1
  • 22
    • 38349033361 scopus 로고    scopus 로고
    • The obstinate passion of foreign exchange professionals: technical analysis
    • Menkhoff, L., Taylor, M.P.: The obstinate passion of foreign exchange professionals: technical analysis. J. Econ. Lit. 45(4), 936-972 (2007)
    • (2007) J. Econ. Lit. , vol.45 , Issue.4 , pp. 936-972
    • Menkhoff, L.1    Taylor, M.P.2
  • 23
    • 2442655599 scopus 로고    scopus 로고
    • Neural network techniques for financial performance prediction: integrating fundamental and technical analysis
    • Lam, M.: Neural network techniques for financial performance prediction: integrating fundamental and technical analysis. Decis. Support Syst. 37(4), 567-581 (2004)
    • (2004) Decis. Support Syst. , vol.37 , Issue.4 , pp. 567-581
    • Lam, M.1
  • 24
    • 0042279716 scopus 로고    scopus 로고
    • On the profitability of technical trading rules based on artificial neural networks: evidence from the Madrid stock market
    • Fernando, F.R., Christian, G.M., Simon, S.R.: On the profitability of technical trading rules based on artificial neural networks: evidence from the Madrid stock market. Econ. Lett. 69(1), 89-94 (2000)
    • (2000) Econ. Lett. , vol.69 , Issue.1 , pp. 89-94
    • Fernando, F.R.1    Christian, G.M.2    Simon, S.R.3
  • 25
    • 34248666540 scopus 로고
    • Fuzzy sets
    • 219427
    • Zadeh, L.A.: Fuzzy sets. Inf. Control 8(3), 338-353 (1965)
    • (1965) Inf. Control , vol.8 , Issue.3 , pp. 338-353
    • Zadeh, L.A.1
  • 26
    • 79952448716 scopus 로고    scopus 로고
    • A survey on industrial applications of fuzzy control
    • Precup, R.E., Hellendoom, H.: A survey on industrial applications of fuzzy control. Comput. Ind. 62(3), 213-226 (2011)
    • (2011) Comput. Ind. , vol.62 , Issue.3 , pp. 213-226
    • Precup, R.E.1    Hellendoom, H.2
  • 27
    • 83055186856 scopus 로고    scopus 로고
    • Multiple criteria decision making (MCDM) methods in economics: an overview
    • Turskis, Z., Zavadskas, E.K.: Multiple criteria decision making (MCDM) methods in economics: an overview. Technol. Econ. Dev. Econ. 2, 397-427 (2011)
    • (2011) Technol. Econ. Dev. Econ. , vol.2 , pp. 397-427
    • Turskis, Z.1    Zavadskas, E.K.2
  • 28
    • 84876098497 scopus 로고    scopus 로고
    • Comments on "Multiple criteria decision making (MCDM) methods in economics: an overview"
    • Liou, J.H., Tzeng, G.H.: Comments on "Multiple criteria decision making (MCDM) methods in economics: an overview". Technol. Econ. Dev. Econ. 18(4), 672-695 (2012)
    • (2012) Technol. Econ. Dev. Econ. , vol.18 , Issue.4 , pp. 672-695
    • Liou, J.H.1    Tzeng, G.H.2
  • 31
    • 84884993335 scopus 로고    scopus 로고
    • A hybrid dynamic MADM model for problems-improvement in economics and business
    • Peng, K.H., Tzeng, G.H.: A hybrid dynamic MADM model for problems-improvement in economics and business. Technol. Econ. Dev. Econ. 19(4), 638-660 (2013)
    • (2013) Technol. Econ. Dev. Econ. , vol.19 , Issue.4 , pp. 638-660
    • Peng, K.H.1    Tzeng, G.H.2
  • 32
    • 84894074856 scopus 로고    scopus 로고
    • A fuzzy integral-based model for supplier evaluation and improvement
    • 3165417
    • Liou, J.H., Chuang, Y.C., Tzeng, G.H.: A fuzzy integral-based model for supplier evaluation and improvement. Inf. Sci. 266(10), 199-217 (2014)
    • (2014) Inf. Sci. , vol.266 , Issue.10 , pp. 199-217
    • Liou, J.H.1    Chuang, Y.C.2    Tzeng, G.H.3
  • 33
    • 84877903009 scopus 로고    scopus 로고
    • Implementing value investing strategy through an integrated fuzzy-ANN model
    • Shen, K.Y.: Implementing value investing strategy through an integrated fuzzy-ANN model. J. Theor. Appl. Inf. Technol. 51(1), 150-157 (2013)
    • (2013) J. Theor. Appl. Inf. Technol. , vol.51 , Issue.1 , pp. 150-157
    • Shen, K.Y.1
  • 34
    • 0027601884 scopus 로고
    • ANFIS: adaptive-network-based fuzzy inference system
    • Jang, J.S.R.: ANFIS: adaptive-network-based fuzzy inference system. IEEE Trans. Syst. Man Cybern. 23(3), 665-685 (1993)
    • (1993) IEEE Trans. Syst. Man Cybern. , vol.23 , Issue.3 , pp. 665-685
    • Jang, J.S.R.1
  • 35
    • 84905014898 scopus 로고    scopus 로고
    • DRSA-based neuro-fuzzy inference systems for the financial performance prediction of commercial banks
    • Shen, K.Y., Tzeng, G.H.: DRSA-based neuro-fuzzy inference systems for the financial performance prediction of commercial banks. Int. J. Fuzzy Syst. 16(2), 173-183 (2014)
    • (2014) Int. J. Fuzzy Syst. , vol.16 , Issue.2 , pp. 173-183
    • Shen, K.Y.1    Tzeng, G.H.2
  • 38
    • 0016451032 scopus 로고
    • An experiment in linguistic synhesis with a fuzzy logic controller
    • Mamdani, E.H., Assilian, S.: An experiment in linguistic synhesis with a fuzzy logic controller. Int. J. Man Mach. Stud. 7(1), 1-13 (1975)
    • (1975) Int. J. Man Mach. Stud. , vol.7 , Issue.1 , pp. 1-13
    • Mamdani, E.H.1    Assilian, S.2
  • 39
    • 38249013037 scopus 로고    scopus 로고
    • Fuzzy inference and its applicability to control systems
    • 1172204
    • Kandel, A., Li, L., Cao, Z.: Fuzzy inference and its applicability to control systems. Fuzzy Sets Syst. 48(1), 99-111 (2006)
    • (2006) Fuzzy Sets Syst. , vol.48 , Issue.1 , pp. 99-111
    • Kandel, A.1    Li, L.2    Cao, Z.3
  • 40
    • 84902957210 scopus 로고    scopus 로고
    • Linguistic fuzzy rules in data mining: follow-up Mamdani fuzzy modeling principle
    • Fernandez, A., Herrera, F.: Linguistic fuzzy rules in data mining: follow-up Mamdani fuzzy modeling principle. Comb. Exp. Theory (Stud. Fuzziness Soft Comput.) 271, 103-122 (2012)
    • (2012) Comb. Exp. Theory (Stud. Fuzziness Soft Comput.) , vol.271 , pp. 103-122
    • Fernandez, A.1    Herrera, F.2
  • 42
    • 0035254283 scopus 로고    scopus 로고
    • Rough sets theory for multicriteria decision analysis
    • 1808161
    • Greco, S., Matarazzo, B., Slowinski, R.: Rough sets theory for multicriteria decision analysis. Eur. J. Oper. Res. 129(1), 1-47 (2001)
    • (2001) Eur. J. Oper. Res. , vol.129 , Issue.1 , pp. 1-47
    • Greco, S.1    Matarazzo, B.2    Slowinski, R.3
  • 43
    • 0036472102 scopus 로고    scopus 로고
    • Rough approximation by dominance relations
    • 1880497
    • Greco, S., Matarazzo, B., Slowinski, R.: Rough approximation by dominance relations. Int. J. Intell. Syst. 17(2), 153-171 (2002)
    • (2002) Int. J. Intell. Syst. , vol.17 , Issue.2 , pp. 153-171
    • Greco, S.1    Matarazzo, B.2    Slowinski, R.3
  • 44
    • 0037117684 scopus 로고    scopus 로고
    • Rough sets methodology for sorting problems in presence of multiple attributes and criteria
    • 1880497
    • Greco, S., Matarazzo, B., Slowinski, R.: Rough sets methodology for sorting problems in presence of multiple attributes and criteria. Eur. J. Oper. Res. 138(2), 247-259 (2002)
    • (2002) Eur. J. Oper. Res. , vol.138 , Issue.2 , pp. 247-259
    • Greco, S.1    Matarazzo, B.2    Slowinski, R.3
  • 45
    • 78650570828 scopus 로고    scopus 로고
    • Sequential covering rule induction algorithm for variable consistency rough set approaches
    • Błaszczyński, J., Słowiński, R., Szelag, M.: Sequential covering rule induction algorithm for variable consistency rough set approaches. Inf. Sci. 181(5), 987-1002 (2011)
    • (2011) Inf. Sci. , vol.181 , Issue.5 , pp. 987-1002
    • Błaszczyński, J.1    Słowiński, R.2    Szelag, M.3
  • 46
    • 37249001854 scopus 로고    scopus 로고
    • Monotonic variable consistency rough set approaches
    • Yao, J., Lingras, P., Wu, W.Z., Szczuka, M., Cercone, N., Slezak, D. (eds.) Springer, Berlin Heidelberg
    • Błaszczyński, J., Greco, S., Słowiński, R., Szelag, M.: Monotonic variable consistency rough set approaches. In: Yao, J., Lingras, P., Wu, W.Z., Szczuka, M., Cercone, N., Slezak, D. (eds.) Rough Sets and Knowledge Technology, pp. 126-133. Springer, Berlin Heidelberg (2007)
    • (2007) Rough Sets and Knowledge Technology , pp. 126-133
    • Błaszczyński, J.1    Greco, S.2    Słowiński, R.3    Szelag, M.4


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.