Liang-Ying Wei

A hybrid model based on rough sets theory and genetic algorithms for stock price forecasting

In the stock market, technical analysis is a useful method for predicting stock prices. Although, professional stock analysts and fund managers usually make subjective judgments, based on objective technical indicators, it is difficult for non-professionals to apply this forecasting technique because there are too many complex technical indicators to be considered. Moreover, two drawbacks have been found in many of the past forecasting models: (1) statistical assumptions about variables are required for time series models, such as the autoregressive moving average model (ARMA) and the autoregressive conditional heteroscedasticity (ARCH), to produce forecasting models of mathematical equations, and these are not easily understood by stock investors; and (2) the rules mined from some artificial intelligence (AI) algorithms, such as neural networks (NN), are not easily realized. In order to overcome these drawbacks, this paper proposes a hybrid forecasting model, using multi-technical indicators to predict stock price trends. Further, it includes four proposed procedures in the hybrid model to provide efficient rules for forecasting, which are evolved from the extracted rules with high support value, by using the toolset based on rough sets theory (RST): (1) select the essential technical indicators, which are highly related to the future stock price, from the popular indicators based on a correlation matrix; (2) use the cumulative probability distribution approach (CDPA) and minimize the entropy principle approach (MEPA) to partition technical indicator value and daily price fluctuation into linguistic values, based on the characteristics of the data distribution; (3) employ a RST algorithm to extract linguistic rules from the linguistic technical indicator dataset; and (4) utilize genetic algorithms (GAs) to refine the extracted rules to get better forecasting accuracy and stock return. The effectiveness of the proposed model is verified with two types of performance evaluations, accuracy and stock return, and by using a six-year period of the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) as the experiment dataset. The experimental results show that the proposed model is superior to the two listed forecasting models (RST and GAs) in terms of accuracy, and the stock return evaluations have revealed that the profits produced by the proposed model are higher than the three listed models (Buy-and-Hold, RST and GAs).

A hybrid ANFIS model based on AR and volatility for TAIEX forecasting

Time series models have been applied to forecast stock index movements and make reasonably accurate predictions. There are, however, two major drawbacks of conventional time series models: (1) most conventional time series models use only one variable to forecast; and (2) the rules that are mined from artificial neural networks (ANNs) are not easily understandable. To solve these problems and enhance the forecasting performance of fuzzy time series models, this paper proposes a hybrid adaptive network-based fuzzy inference system (ANFIS) model that is based on AR and volatility to forecast stock price problems of the Taiwan stock exchange capitalization weighted stock index (TAIEX). To evaluate forecasting performance, the proposed model is compared with Chens model and Yus model. Our results indicate that the proposed model is superior to other methods with regard to root mean squared error (RMSE).

A GA-weighted ANFIS model based on multiple stock market volatility causality for TAIEX forecasting

Stock market forecasting is important and interesting, because the successful prediction of stock prices may promise attractive benefits. The economy of Taiwan relies on international trade deeply, and the fluctuations of international stock markets will impact Taiwan stock market. For this reason, it is a practical way to use the fluctuations of other stock markets as forecasting factors for forecasting the Taiwan stock market. In this paper, the proposed model uses the fluctuations of other national stock markets as forecasting factors and employs a genetic algorithm (GA) to refine the weights of rules joining in an ANFIS model to forecast the Taiwan stock index. To evaluate the forecasting performances, the proposed model is compared with four different models: Chens model, Yus model, Huarngs model, and the ANFIS model. The results indicate that the proposed model is superior to the listing methods in terms of the root mean squared error (RMSE).

A hybrid ANFIS model based on empirical mode decomposition for stock time series forecasting

This paper proposes a hybrid time-series ANFIS model based on EMD to forecast stock price.In order to evaluate the forecasting performances, the proposed model is compared with other models.The experimental results show that proposed model is superior to the listing models. Time series forecasting is an important and widely popular topic in the research of system modeling, and stock index forecasting is an important issue in time series forecasting. Accurate stock price forecasting is a challenging task in predicting financial time series. Time series methods have been applied successfully to forecasting models in many domains, including the stock market. Unfortunately, there are 3 major drawbacks of using time series methods for the stock market: (1) some models can not be applied to datasets that do not follow statistical assumptions; (2) most time series models that use stock data with a significant amount of noise involutedly (caused by changes in market conditions and environments) have worse forecasting performance; and (3) the rules that are mined from artificial neural networks (ANNs) are not easily understandable.To address these problems and improve the forecasting performance of time series models, this paper proposes a hybrid time series adaptive network-based fuzzy inference system (ANFIS) model that is centered around empirical mode decomposition (EMD) to forecast stock prices in the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and Hang Seng Stock Index (HSI). To measure its forecasting performance, the proposed model is compared with Chens model, Yus model, the autoregressive (AR) model, the ANFIS model, and the support vector regression (SVR) model. The results show that our model is superior to the other models, based on root mean squared error (RMSE) values.

A hybrid ANFIS based on n-period moving average model to forecast TAIEX stock

Abstract Linear model is a general forecasting model and moving average technical index (MATI) is one of useful forecasting methods to predict the future stock prices in stock markets. Therefore, individual investors, stock fund managers, and financial analysts attempt to predict price fluctuation in stock markets by either linear model or MATI. From literatures, three major drawbacks are found in many existing forecasting models. First, forecasting rules mined from some AI algorithms, such as neural networks, could be very difficult to understand. Second, statistic assumptions about variables are required for time series to generate forecasting models, which are not easily understandable by stock investors. Third, stock market investors usually make short-term decisions based on recent price fluctuations, i.e., the last one or two periods, but most time series models use only the last period of stock price. In order to overcome these drawbacks, this study proposes a hybrid forecasting model using linear model and MATI to predict stock price trends with the following four steps: (1) test the lag period of Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and calculate the last n -period moving average; (2) use subtractive clustering to partition technical indicator values into linguistic values based on data discretization method objectively; (3) employ fuzzy inference system (FIS) to build linguistic rules from the linguistic technical indicator dataset, and optimize the FIS parameters by adaptive network; and (4) refine the proposed model by adaptive expectation models. The proposed model is then verified by root mean squared error (RMSE), and a ten-year period of TAIEX is selected as experiment datasets. The results show that the proposed model is superior to the other forecasting models, namely Chens model and Yus model in terms of RMSE.

Fusion ANFIS models based on multi-stock volatility causality for TAIEX forecasting

Stock market investors value accurate forecasting of future stock price from trading systems because of the potential for large profits. Thus, investors use different forecasting models, such as the time-series model, to assemble a superior investment portfolio. Unfortunately, there are three major drawbacks to the time-series model: (1) most statistical methods rely on some assumptions about the variables; (2) most conventional time-series models use only one variable in forecasting; and (3) the rules mined from artificial neural networks are not easily understandable. To address these shortcomings, this study proposes a new model based on multi-stock volatility causality, a fusion adaptive-network-based fuzzy inference system (ANFIS) procedure, for forecasting stock price problems in Taiwan. Furthermore, to illustrate the proposed model, three practical, collected stock index datasets from the USA and Taiwan stock markets are used in the empirical experiment. The experimental results indicate that the proposed model is superior to the listing methods in terms of root mean squared error, and further evaluation reveals that the profits comparison results for the proposed model produce higher profits than the listing models.

Volatility model based on multi-stock index for TAIEX forecasting

Conventional time series models have been applied to handle many forecasting problems, such as financial, economic and weather forecasting. In stock markets, correct stock predictions will bring a huge profit for stock investors. However, conventional time series models produce forecasts based on some strict statistical assumptions about data distributions, and, therefore, they are not very proper to forecast financial datasets. This paper proposes a new forecasting model using adaptive learning techniques to predict TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock index) with multi-stock indexes (NASDAQ stock index and Dow Jones stock index). In verification, this paper employs seven year period of TAIEX stock index, from 1997 to 2003, as experimental datasets, and the root mean square error (RMSE) as evaluation criterion. The performance comparison results show that the proposed model outperforms the listing methods in forecasting Taiwan stock market. Besides, from statistical test results, it is showed that the volatility of Dow Jones and the NASDAQ affect TAIEX significantly.

A NEW E-LEARNING ACHIEVEMENT EVALUATION MODEL BASED ON ROUGH SET AND SIMILARITY FILTER

The trend of utilizing information and Internet technologies as teaching and learning tools is rapidly expanding into education. E‐learning is one of the most popular learning environments in the information era. The Internet enables students to learn without limitations of space and time. Furthermore, the learners can repeatedly review the context of a course without the barrier of distance. Recently, student‐centered instruction has become the primary trend in education, and the e‐learning system, which is considered with regard to of personalization and adaptability, is more and more popular. By means of e‐learning systems, teachers can adjust the learning schedule instantly for each learner according to a students achievements and build more adaptive learning environments. Sometimes, teachers give biased assessments of students’ achievements under uncontrollable conditions (i.e., tiredness, preference) and are in dire need of overcoming this predicament. To solve the drawback mentioned, a new model to evaluate learning achievements based on rough set and similarity filter is proposed. The proposed model includes four facets: (1) select important features (attributes) to enhance classification performance by feature selection methods; (2) utilize minimal entropy principle approach (MEPA) to fuzzify the quantitative data; (3) select linguistic values for each feature and delete inconsistent data using the similarity threshold (similarity filter); and (4) generate rules based on rough set theory (RST). The practical e‐learning achievement data sets are collected by an e‐learning online examination system from a university in Taiwan. To verify our model, the performances of the proposed model are compared with the listing models. Results of this study demonstrate that the proposed model outperforms the listing models.

A new e-learning achievement evaluation model based on RBF-NN and similarity filter

As Internet rises fast in recent decades, teaching and learning tools based on Internet technology are rapidly applied in education. Learning through Internet can make learners absorb knowledge without the limitations on learning time and distance. Therefore, in academy, e-learning is one of the popular learning assistant instruments. Recently, “student-centered” instruction has become one of the primary approaches in education, and the e-learning system, which can provide the learning environment of personalization and adaptability, is more and more popular. By using e-learning system, teachers can adjust the learning schedule instantly for learners according to their learning achievements, and build more adaptive learning environments. However, in some cases, bias assessments are given for student achievements under specific uncontrollable conditions (i.e. tiredness, preference). In dire need of overcoming this predicament, a new model based on radial basis function neural networks (RBF-NN) and similarity filter to evaluate learning achievements is proposed. The proposed model includes three phases to reduce bias assessments: (1) preprocess: select important features (attributes) to enhance classification performance by feature selection methods and utilize minimal entropy principle approach (MEPA) to fuzzify the quantitative data, (2) similarity filter: select linguistic values for each feature and delete inconsistent data by the similarity threshold (similarity filter) and (3) construct classification model and accuracy evaluation: build the proposed model based on RBF-NN and evaluate model performance. To verify the proposed model, a practical achievement dataset, collected from e-learning online examination system in a university of Taiwan, is used as experiment dataset, and the performance of the proposed model is compared with the listing models in this paper. From the empirical study, it is shown that the proposed model provided more proper achievement evaluations than the listing models.

Data spread-based entropy clustering method using adaptive learning

Clustering analysis is to identify inherent structures and discover useful information from large amount of data. However, the decision makers may suffer insufficient understanding the nature of the data and do not know how to set the optimal parameters for the clustering method. To overcome the drawback above, this paper proposes a new entropy clustering method using adaptive learning. The proposed method considers the data spreading to determine the adaptive threshold within parameters optimized by adaptive learning. Four datasets in UCI database are used as the experimental data to compare the accuracy of the proposed method with the listing clustering methods. The experimental results indicate that the proposed method is superior to the listing methods.