A multivariate model of fuzzy integrated logical forecasting method (M-FILF) and multiplicative time series clustering: A model of time-varying volatility for dry cargo freight market

  • Authors:
  • Okan Duru

  • Affiliations:
  • Department of Maritime Transportation and Management Engineering, Istanbul Technical University, Tuzla 34940, Istanbul, Turkey

  • Venue:
  • Expert Systems with Applications: An International Journal
  • Year:
  • 2012

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Abstract

The aim of this paper is to improve the fuzzy logical forecasting model (FILF) by utilizing multivariate inference and the partitioning problem for an exponentially distributed time series by using a multiplicative clustering approach. Fuzzy time series (FTS) is a growing study field in computer science and its superiority is indicated frequently. Since the conventional time series analysis requires various pre-conditions, the FTS framework is very useful and convenient for many problems in business practice. This paper particularly investigates pricing problems in the shipping business and price-volatility relationship is the theoretical point of the proposed approach. Both FTS and conventional time series results are comparatively presented in the final section and superiority of the proposed method is explicitly noted.