Detail publikace

Investment Decision Support Based on Interval Type-2 Fuzzy Expert System

JANKOVÁ, Z. JANA, D. DOSTÁL, P.

Originální název

Investment Decision Support Based on Interval Type-2 Fuzzy Expert System

Typ

článek v časopise ve Web of Science, Jimp

Jazyk

angličtina

Originální abstrakt

The decision-making process on investing in financial markets is a very complex and difficult task, mainly due to the chaotic behavior and high uncertainty in the development of the prices of investment instruments. For this reason, financial markets are increasingly using means of artificial intelligence, namely fuzzy logic, which is able to capture the nonlinear behavior.Fuzzy logic provides a way to draw definitive conclusions from vague, ambiguous, or inaccurate information.However, there are some drawbacks associated with type-1 fuzzy logic, so the type-2 fuzzy logic comes forward, which can work with greater uncertainty. Type-2 fuzzy logic works with a new third dimension fuzzy set that provides additional degrees of freedom and allows to model and process numerical and linguistic uncertainties directly. The paper applies type-2 fuzzy logic to the stock market with the aim to create a simple and understandable model for deciding on investing in investment instruments, which is important for investors in this area. The proposed type-2 fuzzy model uses return, risk, dividend and total expense ratio of ETF as input variables. The created system is able to generate aggregated models from a certain number of language rules, which allows the investor to understand the created financial model. Using type-2 fuzzy logic can lead to more realistic and accurate results than type-1 fuzzy logic.

Klíčová slova

fuzzy logic; interval type-2 fuzzy logic; investment analysis; soft computing; T2FLS

Autoři

JANKOVÁ, Z.; JANA, D.; DOSTÁL, P.

Vydáno

29. 4. 2021

Nakladatel

Kaunas University of Technology

Místo

Kaunas, Lithuania

ISSN

1392-2785

Periodikum

Engineering Economics

Ročník

32

Číslo

2

Stát

Litevská republika

Strany od

118

Strany do

129

Strany počet

12

URL

https://inzeko.ktu.lt/index.php/EE/article/view/24884

Plný text v Digitální knihovně

http://hdl.handle.net/11012/200977

BibTex

@article{BUT171432,
  author="Zuzana {Janková} and Dipak Kumar {Jana} and Petr {Dostál}",
  title="Investment Decision Support Based on Interval Type-2 Fuzzy Expert System",
  journal="Engineering Economics",
  year="2021",
  volume="32",
  number="2",
  pages="118--129",
  doi="10.5755/j01.ee.32.2.24884",
  issn="1392-2785",
  url="https://inzeko.ktu.lt/index.php/EE/article/view/24884"
}