Přístupnostní navigace
E-application
Search Search Close
Publication detail
JANKOVÁ, Z. DOSTÁL, P.
Original Title
Evaluation Of The Degree Of Uncertainty In The Type-2 Fuzzy Logic System For Forecasting Stock Index
Type
journal article in Web of Science
Language
English
Original Abstract
The paper deals with investment analysis based on a new fuzzy methodology. Specifically, the interval type-2 fuzzy logic model is created to support decision-making for investors, financial analysts and brokers. The model is demonstrated on the time series of the leading stock index S&P 500 of the US market. Type-2 fuzzy logic membership features are able to include additional uncertainty resulting from unclear, uncertain or inaccurate financial data that are selected as inputs to the model.The paper deals mainly with the evaluation and comparison of different degrees of uncertainty of the functions of the membership of input variables. Several model situations with different levels of inaccuracy are created. Based on the results of the comparison, it can be said that the type-2 fuzzy logic with dual membership functions is able to better describe data from financial time series.
Keywords
computational finance; fuzzy logic; type-1 fuzzy logic; T1FLS; type-2 fuzzy logic; T2FLS
Authors
JANKOVÁ, Z.; DOSTÁL, P.
Released
31. 12. 2022
Publisher
INST ECONOMIC FORECASTING
Location
Romania
ISBN
2537-6071
Periodical
Romanian Journal of Economic Forecasting
Year of study
25
Number
4
State
Pages from
41
Pages to
57
Pages count
17
URL
https://ipe.ro/rjef.htm
BibTex
@article{BUT180667, author="Zuzana {Janková} and Petr {Dostál}", title="Evaluation Of The Degree Of Uncertainty In The Type-2 Fuzzy Logic System For Forecasting Stock Index", journal="Romanian Journal of Economic Forecasting", year="2022", volume="25", number="4", pages="41--57", issn="2537-6071", url="https://ipe.ro/rjef.htm" }