System identification: theory for the user
System identification: theory for the user
Fuzzy controls under various fuzzy reasoning methods
Information Sciences: an International Journal - Application of Fuzzy Set Theory
Rough sets: probabilistic versus deterministic approach
International Journal of Man-Machine Studies
Introduction to Grey system theory
The Journal of Grey System
Fuzzy implication operators and generalized fuzzy method of cases
Fuzzy Sets and Systems
Variable precision rough set model
Journal of Computer and System Sciences
Time series forecasting using neural networks
APL '94 Proceedings of the international conference on APL : the language and its applications: the language and its applications
A new cluster validity index for the fuzzy c-mean
Pattern Recognition Letters
Genetic Algorithms and Investment Strategies
Genetic Algorithms and Investment Strategies
Intelligent Decision Support: Handbook of Applications and Advances of the Rough Sets Theory
Intelligent Decision Support: Handbook of Applications and Advances of the Rough Sets Theory
Fuzzy and Neural Approaches in Engineering
Fuzzy and Neural Approaches in Engineering
Time Series Analysis, Forecasting and Control
Time Series Analysis, Forecasting and Control
Hybrid Intelligent Systems for Stock Market Analysis
ICCS '01 Proceedings of the International Conference on Computational Science-Part II
Approaches to knowledge reduction based on variable precision rough set model
Information Sciences—Informatics and Computer Science: An International Journal - Mining stream data
Applying rough sets to market timing decisions
Decision Support Systems - Special issue: Data mining for financial decision making
Computers and Operations Research
Computers and Operations Research
A fusion model of HMM, ANN and GA for stock market forecasting
Expert Systems with Applications: An International Journal
A comparison of fuzzy strategies for corporate acquisition analysis
Fuzzy Sets and Systems
Expert Systems with Applications: An International Journal
A hybrid particle swarm optimization approach for clustering and classification of datasets
Knowledge-Based Systems
Information Technology and Management
WSEAS Transactions on Information Science and Applications
Hi-index | 12.05 |
This study proposes a technique based upon Fuzzy C-Means (FCM) classification theory and related fuzzy theories for choosing an appropriate value of the Variable Precision Rough Set (VPRS) threshold parameter (@b) when applied to the classification of continuous information systems. The VPRS model is then combined with a moving Average Autoregressive Exogenous (ARX) prediction model and Grey Systems theory to create an automatic stock market forecasting and portfolio selection mechanism. In the proposed mechanism, financial data are collected automatically every quarter and are input to an ARX prediction model to forecast the future trends of the collected data over the next quarter or half-year period. The forecast data are then reduced using a GM(1,N) model, classified using a FCM clustering algorithm, and then supplied to a VPRS classification module which selects appropriate investment stocks in accordance with a pre-determined set of decision-making rules. Finally, a grey relational analysis technique is employed to weight the selected stocks in such a way as to maximize the rate of return of the stock portfolio. The validity of the proposed approach is demonstrated using electronic stock data extracted from the financial database maintained by the Taiwan Economic Journal (TEJ). The portfolio results obtained using the proposed hybrid model are compared with those obtained using a Rough Set (RS) selection model. The effects of the number of attributes of the RS lower approximation set and VPRS @b-lower approximation set on the classification are systematically examined and compared. Overall, the results show that the proposed stock forecasting and stock selection mechanism not only yields a greater number of selected stocks in the @b-lower approximation set than in the RS approximation set, but also yields a greater rate of return.