A hybrid model based on differential fuzzy logic relationships and imperialist competitive algorithm for stock market forecasting

Applied Soft Computing Journal

Volumn 40, Issue , 2016, Pages 132-149

  Sadaei, Hossein Javedani ^a   Enayatifar, Rasul ^b   Lee, Muhammad Hisyam ^c   Mahmud, Maqsood ^d  

^a FEDERAL UNIVERSITY OF MINAS GERAIS   (Brazil)

^b ISLAMIC AZAD UNIVERSITY   (Iran)

^c UNIVERSITI TEKNOLOGI MALAYSIA   (Malaysia)

^d Al Mareefa College   (Saudi Arabia)

Author keywords

Differential fuzzy set; Fuzzy time series; Imperialist competitive algorithm; Stock forecasting; Trend

Indexed keywords

ALGORITHMS; EVOLUTIONARY ALGORITHMS; FINANCIAL MARKETS; FORECASTING; FUZZY LOGIC; FUZZY SETS; OPTIMIZATION; TIME SERIES;

DEFUZZIFICATIONS; FUZZY LOGIC GROUPS; FUZZY RELATIONSHIP; FUZZY TIME SERIES; IMPERIALIST COMPETITIVE ALGORITHMS; STOCK FORECASTING; STOCK MARKET FORECASTING; TREND;

ELECTRONIC TRADING;

EID: 84950124977     PISSN: 15684946     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.asoc.2015.11.026     Document Type: Article

References (39)

1. J.H. Stock, and M.W. Watson Macroeconomic forecasting using diffusion indexes J. Bus. Econ. Stat. 20 2 2002 147 162
2. J.H. Stock, and M.W. Watson Forecasting inflation J. Monet. Econ. 44 2 1999 293 335
3. J.Y. Campbell A variance decomposition for stock returns, Tech. rep. 1990 National Bureau of Economic Research
4. H. Javedani Sadaei, and M.H. Lee Multilayer stock forecasting model using fuzzy time series Sci. World J. 2014
5. T.-J. Hsieh, H.-F. Hsiao, and W.-C. Yeh Forecasting stock markets using wavelet transforms and recurrent neural networks: an integrated system based on artificial bee colony algorithm Appl. Soft Comput. 11 2 2011 2510 2525
6. A. Kazem, E. Sharifi, F.K. Hussain, M. Saberi, and O.K. Hussain Support vector regression with chaos-based firefly algorithm for stock market price forecasting Appl. Soft Comput. 13 2 2013 947 958
7. J.-C. Hung Applying a combined fuzzy systems and GARCH model to adaptively forecast stock market volatility Appl. Soft Comput. 11 5 2011 3938 3945
8. H.-K. Yu Weighted fuzzy time series models for TAIEX forecasting Phys. A: Stat. Mech. Appl. 349 3 2005 609 624
9. E. Egrioglu PSO-based high order time invariant fuzzy time series method: application to stock exchange data Econ. Model. 38 2014 633 639
10. B. Sun, H. Guo, H.R. Karimi, Y. Ge, and S. Xiong Prediction of stock index futures prices based on fuzzy sets and multivariate fuzzy time series Neurocomputing 151 2015 1528 1536
11. M.-Y. Chen A high-order fuzzy time series forecasting model for internet stock trading Future Gener. Comput. Syst. 37 2014 461 467
12. Q. Song, and B.S. Chissom Forecasting enrollments with fuzzy time series - Part I Fuzzy sets and systems 54 1 1993 1 9
13. Q. Song, and B.S. Chissom Forecasting enrollments with fuzzy time series - Part II Fuzzy Sets Syst. 62 1 1994 1 8
14. C. Shyi-Ming Forecasting enrollments based on fuzzy time series Fuzzy Sets Syst. 81 3 1996 311 319
15. K. Huarng Heuristic models of fuzzy time series for forecasting Fuzzy Sets Syst. 123 3 2001 369 386
16. S.-M. Chen Forecasting enrollments based on high-order fuzzy time series Cybern. Syst. 33 1 2002 1 16
17. S.-T. Li, and Y.-C. Cheng Deterministic fuzzy time series model for forecasting enrollments Comput. Math. Appl. 53 12 2007 1904 1920
18. H. Jeng-Ren, C. Shyi-Ming, and L. Chia-Hoang Handling forecasting problems using fuzzy time series Fuzzy Sets Syst. 100 1-3 1998 217 228
19. T.-L. Chen, C.-H. Cheng, and H. Jong Teoh Fuzzy time-series based on fibonacci sequence for stock price forecasting Phys. A: Stat. Mech. Appl. 380 0 2007 377 390
20. K. Huarng, and H.-K. Yu A type 2 fuzzy time series model for stock index forecasting Phys. A: Stat. Mech. Appl. 353 0 2005 445 462
21. N.-Y. Wang, and S.-M. Chen Temperature prediction and TAIFEX forecasting based on automatic clustering techniques and two-factors high-order fuzzy time series Expert Syst. Appl. 36 2 (Part 1) 2009 2143 2154
22. L.-Y. Hsu, S.-J. Horng, T.-W. Kao, Y.-H. Chen, R.-S. Run, R.-J. Chen, J.-L. Lai, and I.H. Kuo Temperature prediction and TAIFEX forecasting based on fuzzy relationships and MTPSO techniques Expert Syst. Appl. 37 4 2010 2756 2770
23. L.-W. Lee, L.-H. Wang, and S.-M. Chen Temperature prediction and TAIFEX forecasting based on high-order fuzzy logical relationships and genetic simulated annealing techniques Expert Syst. Appl. 34 1 2008 328 336
24. R. Enayatifar, H.J. Sadaei, A.H. Abdullah, and A. Gani Imperialist competitive algorithm combined with refined high-order weighted fuzzy time series (RHWFTS-ICA) for short term load forecasting Energy Convers. Manage. 76 2013 1104 1116
25. H.J. Sadaei, R. Enayatifar, A.H. Abdullah, and A. Gani Short-term load forecasting using a hybrid model with a refined exponentially weighted fuzzy time series and an improved harmony search Int. J. Electr. Power Energy Syst. 62 2014 118 129
26. C.-H. Cheng, T.-L. Chen, and C.-H. Chiang Trend-weighted fuzzy time-series model for TAIEX forecasting Neural Information Processing 2006 Springer 469 477
27. Y.-C. Cheng, and S.-T. Li Fuzzy time series forecasting with a probabilistic smoothing hidden Markov model IEEE Trans. Fuzzy Syst. 20 2 2012 291 304
28. E. Atashpaz-Gargari, and C. Lucas Imperialist competitive algorithm: an algorithm for optimization inspired by imperialistic competition IEEE Congress on Evolutionary Computation, CEC 2007 2007 IEEE 4661 4667
29. R. Enayatifar, A.H. Abdullah, and M. Lee A weighted discrete imperialist competitive algorithm (WDICA) combined with chaotic map for image encryption Opt. Lasers Eng. 51 9 2013 1066 1077
30. L.A. Zadeh Fuzzy sets Inf. Control 8 3 1965 338 353
31. C.W. Granger, and R. Joyeux An introduction to long-memory time series models and fractional differencing J. Time Ser. Anal. 1 1 1980 15 29
32. R. Hyndman, A.B. Koehler, J.K. Ord, and R.D. Snyder Forecasting with Exponential Smoothing: The State Space Approach 2008 Springer Science & Business Media
33. K. Huarng, and T.H.-K. Yu Ratio-based lengths of intervals to improve fuzzy time series forecasting IEEE Trans. Syst. Man Cybern. B: Cybern. 36 2 2006 328 340
34. C.-H. Cheng, T.-L. Chen, H.J. Teoh, and C.-H. Chiang Fuzzy time-series based on adaptive expectation model for TAIEX forecasting Expert Syst. Appl. 34 2 2008 1126 1132
35. S.-M. Chen, and C.-D. Chen Handling forecasting problems based on high-order fuzzy logical relationships Expert Syst. Appl. 38 4 2011 3857 3864
36. B. Wuthrich, V. Cho, S.-W. Leung, K. Sankaran, and J. Zhang Daily stock market forecast from textual web data IEEE International Conference on IEEE Systems, Man, and Cybernetics, vol. 3 1998 2720 2725
37. B. Majhi, and C. Anish Multiobjective optimization based adaptive models with fuzzy decision making for stock market forecasting Neurocomputing 167 2015 502 511
38. X. Li, X. Huang, X. Deng, and S. Zhu Enhancing quantitative intra-day stock return prediction by integrating both market news and stock prices information Neurocomputing 142 2014 228 238
39. J.D. Hamilton Time Series Analysis vol. 2 1994 Princeton University Press Princeton