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JANKOVÁ, Z. DOSTÁL, P.
Original Title
Utilization of Artificial Intelligence for Sensitivity Analysis in the Stock Market
Type
journal article in Scopus
Language
English
Original Abstract
The main contribution of this paper is to perform sensitivity analysis using artificial intelligence methods on the US stock market using alternative psychological indicators. The Takagi-Sugeno fuzzy model applies investor sentiment represented by VIX index and monitors the impact of economic optimism, political stability and control of the corruption index on the S&P 500 stock index. Alternative psychological indicators have been chosen that have not been explored in the context of stock index performance sensitivity. Investors primarily use fundamental and technical analysis as a source to determine when and what to buy into an investment portfolio. However, psychological factors that may indicate the strength of reaction to the market are often neglected. Fuzzy rules are determined and tested using a neuro-fuzzy inference system and then the rules are reduced by fuzzy clustering to improve performance of ANFIS. The membership function is defined as a Gaussian function because it has the least RMSE value. The sensitivity analysis confirmed that there is a significant impact of the political stability index and the economic optimism index on the S&P 500 performance. Conversely, the sensitivity analysis, unlike the previous study, did not confirm the strong impact of VIX on equity index performance. Results indicate that incorporating psychological indicators in macroeconomic models leads to better supervision and control of the financial markets.
Keywords
artificial intelligence; fuzzy approach; fuzzy logic; sensitivity analysis; sentiment; soft computing; stock market
Authors
JANKOVÁ, Z.; DOSTÁL, P.
Released
31. 10. 2019
Publisher
Mendel University Press
Location
Brno
ISBN
1211-8516
Periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
Year of study
67
Number
5
State
Czech Republic
Pages from
1269
Pages to
1283
Pages count
1392
URL
https://acta.mendelu.cz/67/5/1269/
BibTex
@article{BUT159655, author="Zuzana {Janková} and Petr {Dostál}", title="Utilization of Artificial Intelligence for Sensitivity Analysis in the Stock Market", journal="Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis", year="2019", volume="67", number="5", pages="1269--1283", doi="10.11118/actaun201967051269", issn="1211-8516", url="https://acta.mendelu.cz/67/5/1269/" }