Modified TSK Fuzzy System in Stock Price Forecasting

摘要：

This paper proposes a modified version of TSK fuzzy system,called C-ascending TSK fuzzy system,to model stock price.The C-ascending TSK fuzzy system is obtained by a simple modification of the weighted membership function in TSK fuzzy system,where the recent errors are penalized more heavily than the distant errors.This procedure is based on the prior knowledge that in the non-stationary financial time series the dependency between input variables and output variables gradually changes over the time,especially,the recent past data could provide more important information than the distant past data.In the experiment,C-ascending TSK fuzzy system is tested using the Standard&Poor 500 sock index(CMESP).Ft is shown that the C-ascending TSK fuzzy system with the actually ordered sample data consistently forecast is better than the standard TSK fuzzy system.

关键词： TSK fuzzy system Stock price forcasting

作者: Xiangdong Liu

作者单位: Langfang Polytechnic Institute Langfang,Hebei 065001,China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 621-624

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）