Neural networks, fuzzy inference systems and adaptive-neuro fuzzy inference systems for financial decision making

Authors:
Pretesh B. Patel;Tshilidzi Marwala
Affiliations:
School of Electrical and Information Engineering, University of the Witwatersrand, Johannesburg, South Africa;School of Electrical and Information Engineering, University of the Witwatersrand, Johannesburg, South Africa
Venue:
ICONIP'06 Proceedings of the 13th international conference on Neural information processing - Volume Part III
Year:
2006

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Abstract

This paper employs pattern classification methods for assisting investors in making financial decisions. Specifically, the problem entails the categorization of investment recommendations. Based on the forecasted performance of certain indices, the Stock Quantity Selection Component is to recommend to the investor to purchase stocks, hold the current investment position or sell stocks in possession. Three designs of the component were implemented and compared in terms of their complexity as well as scalability. Designs that utilized 1, 4 and 16 classifiers, respectively, were developed. These designs were implemented using Artificial Neural Networks, Fuzzy Inference Systems as well as Adaptive Neuro-Fuzzy Inference Systems. The design that employed 4 classifiers achieved low complexity and high scalability. As a result, this design is most appropriate for the application of concern.