Detail publikace

Evaluation Of The Degree Of Uncertainty In The Type-2 Fuzzy Logic System For Forecasting Stock Index

JANKOVÁ, Z. DOSTÁL, P.

Originální název

Evaluation Of The Degree Of Uncertainty In The Type-2 Fuzzy Logic System For Forecasting Stock Index

Typ

článek v časopise ve Web of Science, Jimp

Jazyk

angličtina

Originální abstrakt

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.

Klíčová slova

computational finance; fuzzy logic; type-1 fuzzy logic; T1FLS; type-2 fuzzy logic; T2FLS

Autoři

JANKOVÁ, Z.; DOSTÁL, P.

Vydáno

31. 12. 2022

Nakladatel

INST ECONOMIC FORECASTING

Místo

Romania

ISSN

2537-6071

Periodikum

Romanian Journal of Economic Forecasting

Ročník

25

Číslo

4

Stát

Rumunsko

Strany od

41

Strany do

57

Strany počet

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"
}