Trend-weighted fuzzy time-series model for TAIEX forecasting

Authors:
Ching-Hsue Cheng;Tai-Liang Chen;Chen-Han Chiang
Affiliations:
Department of Information Management, National Yunlin University of Science and Technology, Touliu, Yunlin, Taiwan, R.O.C;Department of Information Management, National Yunlin University of Science and Technology, Touliu, Yunlin, Taiwan, R.O.C;Department of Information Management, National Yunlin University of Science and Technology, Touliu, Yunlin, Taiwan, R.O.C
Venue:
ICONIP'06 Proceedings of the 13th international conference on Neural information processing - Volume Part III
Year:
2006

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Abstract

Time-series models have been used to make reasonably accurate predictions in the areas of weather forecasting, academic enrolment and stock price etc... We propose a methodology which incorporates trend-weighting into the fuzzy time-series models advanced by S.M. Chen and Hui-Kuang Yu. By using actual trading data of Taiwan Stock Index (TAIEX) and the enrolment data of the University of Alabama, we evaluate the accuracy of our trend-weighted, fuzzy, time-series model by comparing our forecasts with those derived from Chen's and Yu's models. The results indicate that our model surpasses in accuracy those suggested by Chen and Yu.