Publication detail

Evaluation Of The Degree Of Uncertainty In The Type-2 Fuzzy Logic System For Forecasting Stock Index

JANKOVÁ, Z. DOSTÁL, P.

Original Title

Evaluation Of The Degree Of Uncertainty In The Type-2 Fuzzy Logic System For Forecasting Stock Index

Type

journal article in Web of Science

Language

English

Original Abstract

The paper deals with investment analysis based on a new fuzzy methodology. Specifically, the interval type-2 fuzzy logic model is created to support decision-making for investors, financial analysts and brokers. The model is demonstrated on the time series of the leading stock index S&P 500 of the US market. Type-2 fuzzy logic membership features are able to include additional uncertainty resulting from unclear, uncertain or inaccurate financial data that are selected as inputs to the model.The paper deals mainly with the evaluation and comparison of different degrees of uncertainty of the functions of the membership of input variables. Several model situations with different levels of inaccuracy are created. Based on the results of the comparison, it can be said that the type-2 fuzzy logic with dual membership functions is able to better describe data from financial time series.

Keywords

computational finance; fuzzy logic; type-1 fuzzy logic; T1FLS; type-2 fuzzy logic; T2FLS

Authors

JANKOVÁ, Z.; DOSTÁL, P.

Released

31. 12. 2022

Publisher

INST ECONOMIC FORECASTING

Location

Romania

ISBN

2537-6071

Periodical

Romanian Journal of Economic Forecasting

Year of study

25

Number

4

State

Romania

Pages from

41

Pages to

57

Pages count

17

URL

https://ipe.ro/rjef.htm

BibTex

@article{BUT180667,
  author="Zuzana {Janková} and Petr {Dostál}",
  title="Evaluation Of The Degree Of Uncertainty In The Type-2 Fuzzy Logic System For Forecasting Stock Index",
  journal="Romanian Journal of Economic Forecasting",
  year="2022",
  volume="25",
  number="4",
  pages="41--57",
  issn="2537-6071",
  url="https://ipe.ro/rjef.htm"
}