Title: Neural network-based fuzzy auto-regressive models of different orders to forecast Taiwan stock index
Authors: Tiffany Hui-Kuang Yu, Kun-Huang Huarng, Rapon Rianto
Addresses: Feng Chia University, 100 Wenhwa Rd., Seatwen, Taichung, Taiwan, ROC. ' Feng Chia University, 100 Wenhwa Rd., Seatwen, Taichung, Taiwan, ROC. ' Feng Chia University, 100 Wenhwa Rd., Seatwen, Taichung, Taiwan, ROC.
Abstract: This article proposes the use of a fuzzy time series model based on neural networks that are intended to calculate the complicated fuzzy relationships among observations. The Taiwan stock exchange capitalisation weighted stock index is used as the forecasting target. Various parameters such as the order of the time series the threshold for defuzzification, and the in-sample estimation results are used to determine the proper models for out-of-sample forecasting.
Keywords: forecasting; fuzzy sets; neural networks; orders; thresholds; autoregressive modelling; Taiwan stock exchange; fuzzy logic.
International Journal of Economics and Business Research, 2009 Vol.1 No.3, pp.347 - 358
Available online: 31 Mar 2009 *Full-text access for editors Access for subscribers Purchase this article Comment on this article