کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
410433 679146 2009 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A combination of hidden Markov model and fuzzy model for stock market forecasting
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر هوش مصنوعی
پیش نمایش صفحه اول مقاله
A combination of hidden Markov model and fuzzy model for stock market forecasting
چکیده انگلیسی

This paper presents a novel combination of the hidden Markov model (HMM) and the fuzzy models for forecasting stock market data. In a previous study we used an HMM to identify similar data patterns from the historical data and then used a weighted average to generate a ‘one-day-ahead’ forecast. This paper uses a similar approach to identify data patterns by using the HMM and then uses fuzzy logic to obtain a forecast value. The HMM's log-likelihood for each of the input data vectors is used to partition the dataspace. Each of the divided dataspaces is then used to generate a fuzzy rule. The fuzzy model developed from this approach is tested on stock market data drawn from different sectors. Experimental results clearly show an improved forecasting accuracy compared to other forecasting models such as, ARIMA, artificial neural network (ANN) and another HMM-based forecasting model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Neurocomputing - Volume 72, Issues 16–18, October 2009, Pages 3439–3446
نویسندگان
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