TY - GEN
T1 - A self-organized neuro-fuzzy system for stock market dynamics modeling and forecasting
AU - Su, C. L.
AU - Chen, C. J.
AU - Yang, S. M.
PY - 2010/12/1
Y1 - 2010/12/1
N2 - A self-organized, five-layer neuro-fuzzy model is developed to model the dynamics of stock market by using technical indicators. The model effectiveness in prediction and forecasting is validated by a set of data containing four indicators: the stochastic oscillator (%K and %D), volume adjusted moving average (VAMA) and ease of movement (EMV) from TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index). A modified moving average method is proposed to predict the input set for the neuro-fuzzy model in forecasting stock price. Simulation results show that the model is effective in prediction and accurate in forecasting. The input error from the prediction of the modified moving average method is attenuated significantly by the neuro-fuzzy model to yield better forecasting results.
AB - A self-organized, five-layer neuro-fuzzy model is developed to model the dynamics of stock market by using technical indicators. The model effectiveness in prediction and forecasting is validated by a set of data containing four indicators: the stochastic oscillator (%K and %D), volume adjusted moving average (VAMA) and ease of movement (EMV) from TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index). A modified moving average method is proposed to predict the input set for the neuro-fuzzy model in forecasting stock price. Simulation results show that the model is effective in prediction and accurate in forecasting. The input error from the prediction of the modified moving average method is attenuated significantly by the neuro-fuzzy model to yield better forecasting results.
UR - https://www.scopus.com/pages/publications/79958735210
UR - https://www.scopus.com/pages/publications/79958735210#tab=citedBy
M3 - Conference contribution
AN - SCOPUS:79958735210
SN - 9789604742011
T3 - International Conference on Computers - Proceedings
SP - 733
EP - 745
BT - Latest Trends on Computers - 14th WSEAS International Conference on Computers, Part of the 14th WSEAS CSCC Multiconference
T2 - 14th WSEAS International Conference on Computers, Part of the 14th WSEAS CSCC Multiconference
Y2 - 23 July 2010 through 25 July 2010
ER -