Paper Title:
Multi-Factor Fuzzy Time Series Model Based on Stock Volatility for Forecasting Taiwan Stock Index
  Abstract

Fuzzy time series have in recent years drawn many scholars' attention due to their ability can handle the time series data with incomplete, imprecise and ambiguous pattern. However, most traditional time series models employed only single variable (stock index) in forecasting, yet ignored some factors that would also affect the stock volatility. Therefore, this paper proposes a novel forecasting model using multi-factor fuzzy time series model to forecast TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock index). Multi-factor fuzzy time series model is composed of three main components: stock index, trading volume and interactions between two stock markets. In order to evaluate the performance of the proposed model, the transaction records of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock index) and NASDAQ(National Association of Securities Dealers Automated Quotations) from 2000/01/04 to 2003/12/31 are used as experimental dataset and the root mean square error (RMSE) as evaluation criterion. The results show that the proposed model outperforms the listing models in accuracy for forecasting Taiwan stock market.

  Info
Periodical
Advanced Materials Research (Volumes 211-212)
Edited by
Ran Chen
Pages
1119-1123
DOI
10.4028/www.scientific.net/AMR.211-212.1119
Citation
C. H. Cheng, J. W. Liu, T. H. Lin, "Multi-Factor Fuzzy Time Series Model Based on Stock Volatility for Forecasting Taiwan Stock Index", Advanced Materials Research, Vols. 211-212, pp. 1119-1123, 2011
Online since
February 2011
Export
Price
$32.00
Share

In order to see related information, you need to Login.

In order to see related information, you need to Login.

Authors: Xi Miao Jia, Guo Ping Song, Ting Wang, Feng Kong
Abstract:Due to the variety and the randomicity of its influencing factors, the electricity demand forecasting is a difficult problem for a long time....
2983
Authors: Jun Liang Liu, Xu Chen, Tie Jian Zhang
Environmental Biotechnology
Abstract:Based on the traditional time series methods, this paper researched a time series-exponential smoothing model that is built by SPSS...
1158
Authors: Cai Yun Gao, Chuan Jiao Pan, Ning Gao
Chapter 5: Monitoring, Evaluation and Reinforcement Technique of Civil Engineering
Abstract:Accurately estimating the deformation of high-rise buildings is a very important work for surveyors, however it is very difficult to get an...
2123
Authors: Tao Lv, Yi Cheng Ye, Ying Jiang, Qi Zhou
Chapter 2: Mining Engineering and Coal Mining
Abstract:According to the analysis of the sum of squared residuals (SSE), this paper have defined the discriminant function and SSE change rate and...
694
Authors: Qiang Wang, Ning Gao, Wen Zhe Jiao, Guan Jie Wang
Chapter 8: Surveying and Detection Engineering, Cartography, Measurement and Geographic Information System
Abstract:In order to improve the accuracy and reliability of prediction of deformation monitoring data, a hybrid modeling and forecasting approach...
2343