A new adaptive network-based fuzzy inference system with adaptive adjustment rules for stock market volatility forecasting

DOI10.1016/J.IPL.2017.06.012MaRDI QIDQ2398503zbMATH OpenOpenAlexFDO

Authors Lijun Tan, Shiheng Wang, Ke Wang

Publication date 16 August 2017

Published in Information Processing Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ipl.2017.06.012

zbMATH Keywords

adaptive network-based fuzzy inference system (ANFIS)algorithmsfruit fly optimization algorithm (FOA)Shanghai A-share stocksstock volatility

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Actuarial science and mathematical finance (91G99)

Recommendations

• Adaptive fuzzy system to forecast financial time series volatility
• Evolving fuzzy modeling for stock market forecasting
• An adaptive network-based fuzzy inference system for the prediction of stock market: BSE30 and IBOVESPA
• Application of multi-input Hamacher-ANFIS ensemble model on stock price forecast
• Improving forecasts of the EGARCH model using artificial neural network and fuzzy inference system

Cites work

• Combined supervised information with PCA via discriminative component selection

Cited in

(6)

• A differential harmony search based hybrid interval type2 fuzzy EGARCH model for stock market volatility prediction
• An adaptive network-based fuzzy inference system for the prediction of stock market: BSE30 and IBOVESPA
• Stock price forecasting based on multi-input Hamacher-ANFIS
• Evolving fuzzy modeling for stock market forecasting
• Application of multi-input Hamacher-ANFIS ensemble model on stock price forecast
• Adaptive fuzzy system to forecast financial time series volatility

This page was built for publication: A new adaptive network-based fuzzy inference system with adaptive adjustment rules for stock market volatility forecasting

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2398503)