Prediction of Stock Trends by Using the Wavelet Transform and the Multi-Stage Fuzzy Inference System Optimized by the GA(Special Section on Intelligent Signal and Image Processing)

スポンサーリンク

概要

• 論文の詳細を見る

• This paper deals with the prediction of stock trends by using the wavelet transform and the multi-stage fuzzy inference system based upon the optimization of membership function by using the GA.The system is expected to recognize the short-term feature which is usually used to estimate the rise / fall of price by human experts.In the prediction of stock prices, the wavelet transform is used to describe the short term feature of the stock trend.The fractal dimension and the variance of the time series are also used as the input variables.By dividing the inference system into multiple stages, the total number of rules is sufficiently depressed compared to the single stage system.In each stage of inference only a portion of input variables are used as the input, and output of the stage is treated as an input to the next stage.To give better performance, the shape of the membership function of the inference rules is optimized by using the GA.Each individual corresponds to an inference system, and its fitness is calculated as the ratio of the correct recognition.In the simulation study, we define the rise and fall of prices by considering the threshold value for the price change, and the interval of prediction.Then, the parameters of the system are adjusted by using the data for learning and the performance is evaluated by comparing the prediction and observation.The simulation study shows that the inference system gives about a 70% correct prediction of the price change of stocks.The result is compaerd to the prediction by the neural network, and we see better classification of the fuzzy system.

• 社団法人電子情報通信学会の論文
• 2000-02-25

著者

• Tokinaga Shozo

  The Faculty Of Economics Kyushu University

• KISHIKAWA Yoshinori

  the Faculty of Economics, Kyushu University

• Kishikawa Yoshinori

  The Faculty Of Economics Kyushu University

関連論文

• Prediction of Stock Trends by Using the Wavelet Transform and the Multi-Stage Fuzzy Inference System Optimized by the GA(Special Section on Intelligent Signal and Image Processing)
• Prediction of Future Stock Trends by Using Two-Stage Hierarchical Systems Based on the Segment Categorization and Recognition of Series of Category Symbols Using the Genetic Programming

スポンサーリンク