Fuzzy forecasting based on fuzzy-trend logical relationship groups.

PubMed

Chen, Shyi-Ming; Wang, Nai-Yi

2010-10-01

In this paper, we present a new method to predict the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) based on fuzzy-trend logical relationship groups (FTLRGs). The proposed method divides fuzzy logical relationships into FTLRGs based on the trend of adjacent fuzzy sets appearing in the antecedents of fuzzy logical relationships. First, we apply an automatic clustering algorithm to cluster the historical data into intervals of different lengths. Then, we define fuzzy sets based on these intervals of different lengths. Then, the historical data are fuzzified into fuzzy sets to derive fuzzy logical relationships. Then, we divide the fuzzy logical relationships into FTLRGs for forecasting the TAIEX. Moreover, we also apply the proposed method to forecast the enrollments and the inventory demand, respectively. The experimental results show that the proposed method gets higher average forecasting accuracy rates than the existing methods.

Fuzzy time-series based on Fibonacci sequence for stock price forecasting

NASA Astrophysics Data System (ADS)

Chen, Tai-Liang; Cheng, Ching-Hsue; Jong Teoh, Hia

2007-07-01

Time-series models have been utilized to make reasonably accurate predictions in the areas of stock price movements, academic enrollments, weather, etc. For promoting the forecasting performance of fuzzy time-series models, this paper proposes a new model, which incorporates the concept of the Fibonacci sequence, the framework of Song and Chissom's model and the weighted method of Yu's model. This paper employs a 5-year period TSMC (Taiwan Semiconductor Manufacturing Company) stock price data and a 13-year period of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) stock index data as experimental datasets. By comparing our forecasting performances with Chen's (Forecasting enrollments based on fuzzy time-series. Fuzzy Sets Syst. 81 (1996) 311-319), Yu's (Weighted fuzzy time-series models for TAIEX forecasting. Physica A 349 (2004) 609-624) and Huarng's (The application of neural networks to forecast fuzzy time series. Physica A 336 (2006) 481-491) models, we conclude that the proposed model surpasses in accuracy these conventional fuzzy time-series models.

The influence of jumping risk and volatility risk on TAIEX option return

NASA Astrophysics Data System (ADS)

Lee, Wei-Long; Hsieh, Ching-Tang; Huang, Jui-Chan; Wu, Tzu-Jung

2017-06-01

Due to the low profits in recent years environmental, as well as the development of financial engineering that promote the derivatives trading Volume increased. Moreover, the fastest-growing of selected right and the lack of research about option risk. This study aim to explore the relationship between the risk and reward of selected right in Taiwan index. This study focus on the pricing the jump risk of selected right in Taiwan index. Using cross-sectional data as a 12-month study period, using the iteration method to research the effects of abnormal returns, the result shows that different risk factors of fluctuations affected the abnormal returns obviously will cause risk premium as well as the jump risk which consistent with the theory of behavioral finance. However, according to traditional finance theory, contrary to the results of this study consider that higher risks should generate higher-paying as well. According this study, the investors in behavioral finance in modern financial theory is not rational, and the trading behavior is non-random, moreover, the financial market is non-efficiency. Instead, the high risk low reward.

Do stock prices drive people crazy?

PubMed

Lin, Chung-Liang; Chen, Chin-Shyan; Liu, Tsai-Ching

2015-03-01

This is the first research to examine a potential relation between stock market volatility and mental disorders. Using data on daily incidences of mental disorders in Taiwan over 4000 days from 1998 through 2009 to assess the time-series relation between stock price movements and mental disorders, we observe that stock price fluctuation clearly affects the hospitalization of mental disorders. We find that during a 12-year follow-up period, a low stock price index, a daily fall in the stock price index and consecutive daily falls in the stock price index are all associated with greater of mental disorders hospitalizations. A 1000-point fall in the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) increases the number of daily mental disorders hospitalizations by 4.71%. A 1% fall in the TAIEX in one single day increases daily hospitalizations for mental disorders by 0.36%. When the stock price index falls one consecutive day, it causes a daily increase of approximately 0.32% hospitalizations due to mental disorders on that day. Stock price index is found to be significant for both gender and all age groups. In addition, daily change is significant for both gender and middle-age groups, whereas accumulated change is significant for males and people aged 45-64. Stockholdings can help people accumulate wealth, but they can also increase mental disorders hospitalizations. In other words, stock price fluctuations do drive people crazy. Published by Oxford University Press in association with The London School of Hygiene and Tropical Medicine © The Author 2014; all rights reserved.

Persistence Probability Analyzed on the Taiwan STOCK Market

NASA Astrophysics Data System (ADS)

Chen, I.-Chun; Chen, Hung-Jung; Tseng, Hsen-Che

We report a numerical study of the Taiwan stock market, in which we used three data sources: the daily Taiwan stock exchange index (TAIEX) from January 1983 to May 2006, the daily OTC index from January 1995 to May 2006, and the one-min intraday data from February 2000 to December 2003. Our study is based on numerical estimates of persistence exponent θp, Hurst exponent H2, and fluctuation exponent h2. We also discuss the results concerning persistence probability P(t), qth-order price-price correlation function Gq(t), and qth-order normalized fluctuation function fq(t) among these indices.

Multilayer Stock Forecasting Model Using Fuzzy Time Series

PubMed Central

Javedani Sadaei, Hossein; Lee, Muhammad Hisyam

2014-01-01

After reviewing the vast body of literature on using FTS in stock market forecasting, certain deficiencies are distinguished in the hybridization of findings. In addition, the lack of constructive systematic framework, which can be helpful to indicate direction of growth in entire FTS forecasting systems, is outstanding. In this study, we propose a multilayer model for stock market forecasting including five logical significant layers. Every single layer has its detailed concern to assist forecast development by reconciling certain problems exclusively. To verify the model, a set of huge data containing Taiwan Stock Index (TAIEX), National Association of Securities Dealers Automated Quotations (NASDAQ), Dow Jones Industrial Average (DJI), and S&P 500 have been chosen as experimental datasets. The results indicate that the proposed methodology has the potential to be accepted as a framework for model development in stock market forecasts using FTS. PMID:24605058

Adaptive time-variant models for fuzzy-time-series forecasting.

PubMed

Wong, Wai-Keung; Bai, Enjian; Chu, Alice Wai-Ching

2010-12-01

A fuzzy time series has been applied to the prediction of enrollment, temperature, stock indices, and other domains. Related studies mainly focus on three factors, namely, the partition of discourse, the content of forecasting rules, and the methods of defuzzification, all of which greatly influence the prediction accuracy of forecasting models. These studies use fixed analysis window sizes for forecasting. In this paper, an adaptive time-variant fuzzy-time-series forecasting model (ATVF) is proposed to improve forecasting accuracy. The proposed model automatically adapts the analysis window size of fuzzy time series based on the prediction accuracy in the training phase and uses heuristic rules to generate forecasting values in the testing phase. The performance of the ATVF model is tested using both simulated and actual time series including the enrollments at the University of Alabama, Tuscaloosa, and the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). The experiment results show that the proposed ATVF model achieves a significant improvement in forecasting accuracy as compared to other fuzzy-time-series forecasting models.

A novel weight determination method for time series data aggregation

NASA Astrophysics Data System (ADS)

Xu, Paiheng; Zhang, Rong; Deng, Yong

2017-09-01

Aggregation in time series is of great importance in time series smoothing, predicting and other time series analysis process, which makes it crucial to address the weights in times series correctly and reasonably. In this paper, a novel method to obtain the weights in time series is proposed, in which we adopt induced ordered weighted aggregation (IOWA) operator and visibility graph averaging (VGA) operator and linearly combine the weights separately generated by the two operator. The IOWA operator is introduced to the weight determination of time series, through which the time decay factor is taken into consideration. The VGA operator is able to generate weights with respect to the degree distribution in the visibility graph constructed from the corresponding time series, which reflects the relative importance of vertices in time series. The proposed method is applied to two practical datasets to illustrate its merits. The aggregation of Construction Cost Index (CCI) demonstrates the ability of proposed method to smooth time series, while the aggregation of The Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) illustrate how proposed method maintain the variation tendency of original data.

High-order fuzzy time-series based on multi-period adaptation model for forecasting stock markets

NASA Astrophysics Data System (ADS)

Chen, Tai-Liang; Cheng, Ching-Hsue; Teoh, Hia-Jong

2008-02-01

Stock investors usually make their short-term investment decisions according to recent stock information such as the late market news, technical analysis reports, and price fluctuations. To reflect these short-term factors which impact stock price, this paper proposes a comprehensive fuzzy time-series, which factors linear relationships between recent periods of stock prices and fuzzy logical relationships (nonlinear relationships) mined from time-series into forecasting processes. In empirical analysis, the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) and HSI (Heng Seng Index) are employed as experimental datasets, and four recent fuzzy time-series models, Chen’s (1996), Yu’s (2005), Cheng’s (2006) and Chen’s (2007), are used as comparison models. Besides, to compare with conventional statistic method, the method of least squares is utilized to estimate the auto-regressive models of the testing periods within the databases. From analysis results, the performance comparisons indicate that the multi-period adaptation model, proposed in this paper, can effectively improve the forecasting performance of conventional fuzzy time-series models which only factor fuzzy logical relationships in forecasting processes. From the empirical study, the traditional statistic method and the proposed model both reveal that stock price patterns in the Taiwan stock and Hong Kong stock markets are short-term.

Fuzzy forecasting based on two-factors second-order fuzzy-trend logical relationship groups and the probabilities of trends of fuzzy logical relationships.

PubMed

Chen, Shyi-Ming; Chen, Shen-Wen

2015-03-01

In this paper, we present a new method for fuzzy forecasting based on two-factors second-order fuzzy-trend logical relationship groups and the probabilities of trends of fuzzy-trend logical relationships. Firstly, the proposed method fuzzifies the historical training data of the main factor and the secondary factor into fuzzy sets, respectively, to form two-factors second-order fuzzy logical relationships. Then, it groups the obtained two-factors second-order fuzzy logical relationships into two-factors second-order fuzzy-trend logical relationship groups. Then, it calculates the probability of the "down-trend," the probability of the "equal-trend" and the probability of the "up-trend" of the two-factors second-order fuzzy-trend logical relationships in each two-factors second-order fuzzy-trend logical relationship group, respectively. Finally, it performs the forecasting based on the probabilities of the down-trend, the equal-trend, and the up-trend of the two-factors second-order fuzzy-trend logical relationships in each two-factors second-order fuzzy-trend logical relationship group. We also apply the proposed method to forecast the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and the NTD/USD exchange rates. The experimental results show that the proposed method outperforms the existing methods.

Forecasting East Asian Indices Futures via a Novel Hybrid of Wavelet-PCA Denoising and Artificial Neural Network Models

PubMed Central

2016-01-01

The motivation behind this research is to innovatively combine new methods like wavelet, principal component analysis (PCA), and artificial neural network (ANN) approaches to analyze trade in today’s increasingly difficult and volatile financial futures markets. The main focus of this study is to facilitate forecasting by using an enhanced denoising process on market data, taken as a multivariate signal, in order to deduct the same noise from the open-high-low-close signal of a market. This research offers evidence on the predictive ability and the profitability of abnormal returns of a new hybrid forecasting model using Wavelet-PCA denoising and ANN (named WPCA-NN) on futures contracts of Hong Kong’s Hang Seng futures, Japan’s NIKKEI 225 futures, Singapore’s MSCI futures, South Korea’s KOSPI 200 futures, and Taiwan’s TAIEX futures from 2005 to 2014. Using a host of technical analysis indicators consisting of RSI, MACD, MACD Signal, Stochastic Fast %K, Stochastic Slow %K, Stochastic %D, and Ultimate Oscillator, empirical results show that the annual mean returns of WPCA-NN are more than the threshold buy-and-hold for the validation, test, and evaluation periods; this is inconsistent with the traditional random walk hypothesis, which insists that mechanical rules cannot outperform the threshold buy-and-hold. The findings, however, are consistent with literature that advocates technical analysis. PMID:27248692

Forecasting East Asian Indices Futures via a Novel Hybrid of Wavelet-PCA Denoising and Artificial Neural Network Models.

PubMed

Chan Phooi M'ng, Jacinta; Mehralizadeh, Mohammadali

2016-01-01

The motivation behind this research is to innovatively combine new methods like wavelet, principal component analysis (PCA), and artificial neural network (ANN) approaches to analyze trade in today's increasingly difficult and volatile financial futures markets. The main focus of this study is to facilitate forecasting by using an enhanced denoising process on market data, taken as a multivariate signal, in order to deduct the same noise from the open-high-low-close signal of a market. This research offers evidence on the predictive ability and the profitability of abnormal returns of a new hybrid forecasting model using Wavelet-PCA denoising and ANN (named WPCA-NN) on futures contracts of Hong Kong's Hang Seng futures, Japan's NIKKEI 225 futures, Singapore's MSCI futures, South Korea's KOSPI 200 futures, and Taiwan's TAIEX futures from 2005 to 2014. Using a host of technical analysis indicators consisting of RSI, MACD, MACD Signal, Stochastic Fast %K, Stochastic Slow %K, Stochastic %D, and Ultimate Oscillator, empirical results show that the annual mean returns of WPCA-NN are more than the threshold buy-and-hold for the validation, test, and evaluation periods; this is inconsistent with the traditional random walk hypothesis, which insists that mechanical rules cannot outperform the threshold buy-and-hold. The findings, however, are consistent with literature that advocates technical analysis.

A novel stock forecasting model based on High-order-fuzzy-fluctuation Trends and Back Propagation Neural Network

PubMed Central

Dai, Zongli; Zhao, Aiwu; He, Jie

2018-01-01

In this paper, we propose a hybrid method to forecast the stock prices called High-order-fuzzy-fluctuation-Trends-based Back Propagation(HTBP)Neural Network model. First, we compare each value of the historical training data with the previous day's value to obtain a fluctuation trend time series (FTTS). On this basis, the FTTS blur into fuzzy time series (FFTS) based on the fluctuation of the increasing, equality, decreasing amplitude and direction. Since the relationship between FFTS and future wave trends is nonlinear, the HTBP neural network algorithm is used to find the mapping rules in the form of self-learning. Finally, the results of the algorithm output are used to predict future fluctuations. The proposed model provides some innovative features:(1)It combines fuzzy set theory and neural network algorithm to avoid overfitting problems existed in traditional models. (2)BP neural network algorithm can intelligently explore the internal rules of the actual existence of sequential data, without the need to analyze the influence factors of specific rules and the path of action. (3)The hybrid modal can reasonably remove noises from the internal rules by proper fuzzy treatment. This paper takes the TAIEX data set of Taiwan stock exchange as an example, and compares and analyzes the prediction performance of the model. The experimental results show that this method can predict the stock market in a very simple way. At the same time, we use this method to predict the Shanghai stock exchange composite index, and further verify the effectiveness and universality of the method. PMID:29420584

A novel stock forecasting model based on High-order-fuzzy-fluctuation Trends and Back Propagation Neural Network.

PubMed

Guan, Hongjun; Dai, Zongli; Zhao, Aiwu; He, Jie

2018-01-01

In this paper, we propose a hybrid method to forecast the stock prices called High-order-fuzzy-fluctuation-Trends-based Back Propagation(HTBP)Neural Network model. First, we compare each value of the historical training data with the previous day's value to obtain a fluctuation trend time series (FTTS). On this basis, the FTTS blur into fuzzy time series (FFTS) based on the fluctuation of the increasing, equality, decreasing amplitude and direction. Since the relationship between FFTS and future wave trends is nonlinear, the HTBP neural network algorithm is used to find the mapping rules in the form of self-learning. Finally, the results of the algorithm output are used to predict future fluctuations. The proposed model provides some innovative features:(1)It combines fuzzy set theory and neural network algorithm to avoid overfitting problems existed in traditional models. (2)BP neural network algorithm can intelligently explore the internal rules of the actual existence of sequential data, without the need to analyze the influence factors of specific rules and the path of action. (3)The hybrid modal can reasonably remove noises from the internal rules by proper fuzzy treatment. This paper takes the TAIEX data set of Taiwan stock exchange as an example, and compares and analyzes the prediction performance of the model. The experimental results show that this method can predict the stock market in a very simple way. At the same time, we use this method to predict the Shanghai stock exchange composite index, and further verify the effectiveness and universality of the method.

[Quality of health care, accreditation, and health technology assessment in Croatia: role of agency for quality and accreditation in health].

PubMed

Mittermayer, Renato; Huić, Mirjana; Mestrović, Josipa

2010-12-01

standards, and providing other services in the field of healthcare quality assurance, improvement, promotion and monitoring, according to the Act. Formal activities of the Agency in the field of HTA actually began in summer 2009. In the field of quality and accreditation, the plan and program of healthcare quality assurance, improvement, promotion and monitoring was finished and published in October 2010; preparation of the healthcare quality standards as well as the accreditation standards is still in process, with the aim to start accreditation process at 10 hospitals in 2011. Education in the field of healthcare quality assurance, improvement and promotion has been established as a continuous process from the beginning. The Agency is member of the International Society for Quality in Health Care (ISQua) and participates in the work of the European Accreditation Network (EAN). In the field of HTA, the Agency has established international collaboration and support, which resulted in its appointment and participation in the European network for Health Technology Assessment (EUnetHTA) Joint Action Project as a EUnetHTA Partner, as well as its membership in the international society, HTAi. TAIEX project has been approved as a two-day workshop in December 2010. The Croatian HTA Guidelines have been issued with the aim to start the HTA process and reports that should serve as recommendations, as a support to policy-makers at the national level, in particular the Croatian Ministry of Health and Social Welfare, and Croatian Institute of Health Insurance, in making evidence-informed decisions on the strategic planning, investment, management and implementation of technologies in health care, on funding (reimbursement) and coverage of health technologies, and at hospital level on the request from hospital directors and policy teams. In conclusion, establishment of all these measures in Croatia is by no means an easy and quick process, however, we do believe that it is feasible