期刊
INFORMATION SCIENCES
卷 247, 期 -, 页码 62-71出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.ins.2013.06.005
关键词
Fuzzy sets; Fuzzy time series; Particle swarm optimization; Support vector machines; TAIEX
资金
- National Science Council, Republic of China [NSC 101-2221-E-011-171-MY2]
In this paper, a new method for forecasting the TAIEX is presented based on fuzzy time series, particle swarm optimization techniques and support vector machines. The proposed method to forecast the TAIEX is based on the slope of one-day variation of the TAIEX and the slope of two-days average variation of the TAIEX. Because the slope of two-days average variation of the TAIEX is smoother than the slope of one-day variation of the TAIEX, it is chosen to define the universe of discourse. The particle swarm optimization techniques are used to get optimal intervals in the universe of discourse. The support vector machine is used to classify the training data set. The first feature and the second feature of the support vector machine are the slope of one-day variation and the slope of two-days average variation of the TAIEX, respectively. The experimental results show that the proposed method outperforms the existing methods for forecasting the TAIEX. (C) 2013 Elsevier Inc. All rights reserved.
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