An adaptive network-based fuzzy inference system (ANFIS) for the forecasting: The case of close price indices

•Proposed forecasting close price indices model for Crobex®.•Developed model forecasts predicts close price indices for 5 days in advance.•Forecasting model follows historical time frame in checking phase.•Crobex® stock market trend is presented though given model.•Limitations and performance of model during forecasting are evaluated.

The close price prediction model of the Zagreb Stock Exchange Crobex® index is presented in this paper. For the input/output data plan modeling the Crobex® index close price historical data are retrieved from the Zagreb Stock Exchange official internet pages. The prediction model is created in the way that for each of 5 days in advance it predicts the Crobex® close price. The prediction model is generated based on the input/output data plan by means of the adaptive neuro-fuzzy inference system method, representing the fuzzy inference system. It is of the essence to point out that for each day a separate fuzzy inference system is created by means of the adaptive neuro-fuzzy inference system method based on the same set of input/output data, the only difference being that for every separate fuzzy inference system different subsets for training and checking are used so that input variables are differently created. The input/output data set represents the historical data of the Crobex® index close price from 4 November 2010 to 24 January 2012 and the Crobex® index close price is predicted for the subsequent 5 days, the first day of prediction being 25 January 2012. After that the above mentioned input/output data set is shifted 5 days in advance and the Crobex® index close price is predicted in advance for the next 5 days starting with the last day of the input/output data set. In that way the Crobex® index close prices are predicted until 19 October 2012 based on the Crobex® index close price historical data. At the end of the paper qualitative and quantitative estimates are presented for the given approach of predicting the Crobex® index close price showing that the approach is useful for predicting within its limits.