Detail publikace

Hybrid wavelet adaptive neuro-fuzzy tool supporting competitiveness and efficiency of predicting the stock markets of the Visegrad Four countries

JANKOVÁ, Z.

Originální název

Hybrid wavelet adaptive neuro-fuzzy tool supporting competitiveness and efficiency of predicting the stock markets of the Visegrad Four countries

Typ

článek v časopise ve Web of Science, Jimp

Jazyk

angličtina

Originální abstrakt

The stock market is influenced by many factors and predicting its development is a difficult and complicated task. Successful and accurate stock market prediction is absolutely essential for countries’ economies as it helps to create a competitive advantage for listed companies through economies of scale. The aim of the paper is to decompose and denoise stock time series using wavelet analysis, detect a smoothed trend and predict future development using an adaptive neuro-fuzzy model. This hybrid fusion model is also referred to as the WANFIS model. The application of the WANFIS model is carried out on less developed stock markets, specifically on the official stock market indices of the Visegrad countries, namely the Czech Republic, Slovak Republic, Poland and Hungary. Recently, wavelet analysis has been among the most promising mathematical tools, which can be used to easily decompose continuous signals or time series in the time and frequency domains. The results show that the proposed WANFIS hybrid model demonstrates a more accurate prediction of the development of stock indices than individual models alone. Experimental results show that the fusion model provides a promising and effective tool for predicting even less liquid and less efficient stock markets, such as those in the V4 countries. A useful and accurate prediction alternative proven in emerging stock markets is offered.

Klíčová slova

ANFIS; neuro-fuzzy model; stock market; V4 countries; Visegrad countries; wavelet analysis; wavelet transformation

Autoři

JANKOVÁ, Z.

Vydáno

15. 3. 2023

Nakladatel

Faculty of Management and Economics of Tomas Bata University

Místo

Zlín, Česká republika

ISSN

1804-171X

Periodikum

Journal of Competitiveness

Ročník

15

Číslo

1

Stát

Česká republika

Strany od

56

Strany do

72

Strany počet

16

URL

https://www.cjournal.cz/index.php?hid=clanek&bid=aktualni&cid=475&cp=

Plný text v Digitální knihovně

http://hdl.handle.net/11012/213646

BibTex

@article{BUT183641,
  author="Zuzana {Janková}",
  title="Hybrid wavelet adaptive neuro-fuzzy tool supporting competitiveness and efficiency of predicting the stock markets of the Visegrad Four countries",
  journal="Journal of Competitiveness",
  year="2023",
  volume="15",
  number="1",
  pages="56--72",
  doi="10.7441/joc.2023.01.04",
  issn="1804-171X",
  url="https://www.cjournal.cz/index.php?hid=clanek&bid=aktualni&cid=475&cp="
}