Detail publikace

Type-2 Fuzzy Expert System Approach for Decision-Making of Financial Assets and Investing under Different Uncertainty

JANKOVÁ, Z. DOSTÁL, P.

Originální název

Type-2 Fuzzy Expert System Approach for Decision-Making of Financial Assets and Investing under Different Uncertainty

Typ

článek v časopise ve Web of Science, Jimp

Jazyk

angličtina

Originální abstrakt

Extensive research results of stock market time series using classical fuzzy sets (type-1) are available in the literature. However, type-1 fuzzy sets cannot fully capture the uncertainty associated with stock market developments due to their limited descriptiveness. This paper fills a scientific gap and focuses on type-2 fuzzy logic applied to stock markets. Type-2 fuzzy sets may include additional uncertainty resulting from unclear, uncertain, or inaccurate financial data through which model inputs are calculated. Here we propose four methods based on type-2 fuzzy logic, which differ in the level of uncertainty contained in fuzzy sets and compared with the type-1 fuzzy model. The case study aims to create a model to support investment decisions in Exchange-Traded Funds (ETFs) listed on international equity markets. The created models of type-2 fuzzy logic are compared with the classic type-1 fuzzy logic model. Based on the results of the comparison, it can be said that type-2 fuzzy logic with dual fuzzy sets is able to better describe data from financial time series and provides more accurate outputs. The results reflect the capability and effectiveness of the approach proposed in this document. However, the performance of type-2 fuzzy logic models decreases with the inclusion of increasing uncertainty in fuzzy sets. For further research, it would be appropriate to examine the different levels of uncertainty in the input parameters themselves and monitor the performance of such a modified model.

Klíčová slova

expert system; fuzzy logic; investment; IT2FL; type-2 fuzzy logic

Autoři

JANKOVÁ, Z.; DOSTÁL, P.

Vydáno

18. 6. 2021

Nakladatel

Hindawi

Místo

Spojené státy americké

ISSN

1024-123X

Periodikum

MATHEMATICAL PROBLEMS IN ENGINEERING

Ročník

2021

Číslo

1

Stát

Spojené státy americké

Strany od

1

Strany do

16

Strany počet

16

URL

https://www.hindawi.com/journals/mpe/2021/3839071/

Plný text v Digitální knihovně

http://hdl.handle.net/11012/200866

BibTex

@article{BUT171860,
  author="Zuzana {Janková} and Petr {Dostál}",
  title="Type-2 Fuzzy Expert System Approach for Decision-Making of Financial Assets and Investing under Different Uncertainty",
  journal="MATHEMATICAL PROBLEMS IN ENGINEERING",
  year="2021",
  volume="2021",
  number="1",
  pages="1--16",
  doi="10.1155/2021/3839071",
  issn="1024-123X",
  url="https://www.hindawi.com/journals/mpe/2021/3839071/"
}