Detail publikace

Decision-Making Process Using Neuro-Fuzzy Model for Capital Market

JANKOVÁ, Z. DOSTÁL, P.

Originální název

Decision-Making Process Using Neuro-Fuzzy Model for Capital Market

Typ

článek ve sborníku ve WoS nebo Scopus

Jazyk

angličtina

Originální abstrakt

The paper discusses the proposal of a neuro-fuzzy model as support in decision-making on investments in exchange traded funds (ETF) focused on the real estate sector and listed on the American exchange. The created model is based on the neuro-fuzzy inference system (ANFIS). The methods of analysis, synthesis and mathematical neuro-fuzzy modelling were used to achieve the goal. Selected financial indicators represent the fuzzy system input. Based on the Gauss membership function, the neural network generates the fuzzy rules. The model output is a signal to buy or sell the ETF stock. The paper aims to create a suitable model for decision-making on investments in analyzed investment instruments based on selected financial indicators. The proposed neuro-fuzzy decision-making model consists of 4 input variables, one rule block (with 81 fuzzy rules) and one output variable (to invest or not to invest). The input variables and the output variable have three attributes (L – large, M – medium, S – small). The created ANFIS model is a suitable tool for investment decisions on buying or selling ETF stock. The model significance lies mostly in the fact it provides the expert analyst or potential investor with enough space to express and incorporate their subjective evaluation in the model. The paper discussed the proposal of a neuro-fuzzy model as support in decision-making on ETF investment opportunities listed on the American market. For further research, the proposed model should be extended by other significant fundamental indicators, possibly incorporate technical and psychological indicators and monitor the strength of the revised model in other capital markets as well.

Klíčová slova

fuzzy logic; artificial neural networks; stock market; stock trading; soft computing; ETF; ANFIS

Autoři

JANKOVÁ, Z.; DOSTÁL, P.

Vydáno

30. 4. 2019

Nakladatel

Faculty of Business and Management, Brno University of Technology

Místo

Brno, Czech Republic

ISBN

978-80-214-5756-0

Kniha

Perspectives of Business and Entrepreneurship Development in Digital Transformation of Corporate Business

Strany od

175

Strany do

182

Strany počet

197

BibTex

@inproceedings{BUT156761,
  author="Zuzana {Janková} and Petr {Dostál}",
  title="Decision-Making Process Using Neuro-Fuzzy Model for Capital Market",
  booktitle="Perspectives of Business and Entrepreneurship Development in Digital Transformation of Corporate Business",
  year="2019",
  pages="175--182",
  publisher="Faculty of Business and Management, Brno University of Technology",
  address="Brno, Czech Republic",
  isbn="978-80-214-5756-0"
}