Multivariate intuitionistic fuzzy inference system for stock market prediction: The cases of Istanbul and Taiwan

Many of decision-making and policy planning processes involve a time-series prediction problem and so this area has extensive literature including a great variety of time-series prediction tools and inferences systems. An important part of these is based on fuzzy sets. However, it is known that fuzzy sets may fail to satisfy or characterize the uncertainty of the data in a comprehensive manner because they cannot depict the neutrality degree of time-series. Another important and decisive deficiency of current inference systems is to based on the univariate structure. However, the time series dealt with in a prediction problem generally interact with other time series. Considering these issues, creating an inference system based on intuitionistic fuzzy sets and multivariate relationships for a time series prediction problem is a requirement even an obligation. With these regards, this study presents a multivariate intuitionistic fuzzy time-series definition and its prediction models and introduces a multivariate intuitionistic fuzzy inference system (M-IFIS). The basic novelty of the article can be expressed as the definition of a multivariate intuitionistic fuzzy time series, as well as the creation of a relevant analysis mechanism, first-time in the literature. Sigma-pi neural network is used as an inference tool in M-IFIS and membership and non-membership values and lagged crisp observations of multivariable time-series are used as inputs of it. In order to reveal the performance of the proposed system, Istanbul Stock Exchange (IEX) and Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) are analysed and the results are evaluated as comprehensive and comparative. All findings reveal the superiority M-IFIS in predictive accuracy. (C) 2021 Published by Elsevier B.V.

Automated summary

This study presents a multivariate intuitionistic fuzzy time-series definition and its prediction models, as well as a multivariate intuitionistic fuzzy inference system (M-IFIS). It introduces the use of Sigma-pi neural network as an inference tool and demonstrates the superior predictive accuracy of M-IFIS compared to other methods. The article contributes to the literature by providing a novel analysis mechanism for multivariate intuitionistic fuzzy time series.