期刊
APPLIED SOFT COMPUTING
卷 12, 期 2, 页码 931-941出版社
ELSEVIER
DOI: 10.1016/j.asoc.2011.09.013
关键词
Functional Link Artificial Neural Network; Fuzzy logic system; Interval Type-2FLS; Backpropagation learning algorithm; Particle swarm optimization
This paper presents an integrated functional link interval type-2 fuzzy neural system (FLIT2FNS) for predicting the stock market indices. The hybrid model uses a TSK (Takagi-Sugano-Kang) type fuzzy rule base that employs type-2 fuzzy sets in the antecedent parts and the outputs from the Functional Link Artificial Neural Network (FLANN) in the consequent parts. Two other approaches, namely the integrated FLANN and type-1 fuzzy logic system and Local Linear Wavelet Neural Network (LLWNN) are also presented for a comparative study. Backpropagation and particle swarm optimization (PSO) learning algorithms have been used independently to optimize the parameters of all the forecasting models. To test the model performance, three well known stock market indices like the Standard's & Poor's 500 (S&P 500), Bombay stock exchange (BSE), and Dow Jones industrial average (DJIA) are used. The mean absolute percentage error (MAPE) and root mean square error (RMSE) are used to find out the performance of all the three models. Finally, it is observed that out of three methods, FLIT2FNS performs the best irrespective of the time horizons spanning from 1 day to 1 month. (C) 2011 Elsevier B. V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据