Forecasting the turning time of stock market based on Markov-Fourier grey model

Authors:
Yen-Tseng Hsu;Ming-Chung Liu;Jerome Yeh;Hui-Fen Hung
Affiliations:
Department of Computer Science and Information Engineering, National Taiwan University of Science and Technology, Taipei, Taiwan, ROC;Department of Electrical Engineering, National Taiwan University of Science and Technology, Taipei, Taiwan, ROC;Department of Computer Science and Information Engineering, National Taiwan University of Science and Technology, Taipei, Taiwan, ROC;Department of Electrical Engineering, National Taiwan University of Science and Technology, Taipei, Taiwan, ROC
Venue:
Expert Systems with Applications: An International Journal
Year:
2009

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Abstract

This paper presents an integration prediction method including grey model (GM), Fourier series, and Markov state transition, known as Markov-Fourier grey model (MFGM), to predict the turning time of Taiwan weighted stock index (TAIEX) for increasing the forecasting accuracy. There are two parts of forecast. The first one is to build an optimal grey model from a series of data, the other uses the Fourier series to refine the residuals produced by the mentioned model. Finally, the Markov state scheme is used for predicting the possibility of location results to promote the intermediate results generated by the Fourier grey model (FGM). It is evident that the proposed approach gets the better result performance than that of the other methods.