Institutional Repository
Technical University of Crete
Technical University of Crete
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| URI: | http://purl.tuc.gr/dl/dias/52A8DE99-E73D-4A2C-9AF8-347FED03357D | ||
| Year | 2009 | ||
| Type of Item | Peer-Reviewed Journal Publication | ||
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| Bibliographic Citation | G. S. Atsalakis and K. P. Valavanis, "Forecasting stock market short-term trends using a neuro-fuzzy based methodology", Exp. Syst. Applicat., vol. 36, no. 7, pp. 10696-10707, Sep. 2009. doi:10.1016/j.eswa.2009.02.043 https://doi.org/10.1016/j.eswa.2009.02.043 | ||
| Appears in Collections |
A neuro-fuzzy system composed of an Adaptive Neuro Fuzzy Inference System (ANFIS) controller used to control the stock market process model, also identified using an adaptive neuro-fuzzy technique, is derived and evaluated for a variety of stocks. Obtained results challenge the weak form of the Efficient Market Hypothesis (EMH) by demonstrating much improved and better predictions, compared to other approaches, of short-term stock market trends, and in particular the next day’s trend of chosen stocks. The ANFIS controller and the stock market process model inputs are chosen based on a comparative study of fifteen different combinations of past stock prices performed to determine the stock market process model inputs that return the best stock trend prediction for the next day in terms of the minimum Root Mean Square Error (RMSE). Gaussian-2 shaped membership functions are chosen over bell shaped Gaussian and triangular ones to fuzzify the system inputs due to the lowest RMSE. Real case studies using data from emerging and well developed stock markets – the Athens and the New York Stock Exchange (NYSE) – to train and evaluate the proposed system illustrate that compared to the “buy and hold” strategy and several other reported methods, the proposed approach and the forecasting trade accuracy are by far superior.
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