Naslov
An adaptive network-based fuzzy inference system (ANFIS) for the forecasting: the case of close price indices

Autori
Svalina, Ilija ; Galzina, Vjekoslav ; Lujić, Roberto ; Šimunović, Goran

Izvornik
Expert systems with applications (0957-4174) 40 (2013), 15; 6055-6063

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
The Zagreb stock exchange CROBEX® index close price; Adaptive Neuro-Fuzzy Inference System (ANFIS); Fuzzy Inference System (FIS); Neural networks (NN)

Sažetak
The close price prediction model of the Zagreb stock exchange Crobex® index is presented in this paper. For the input/output data plan modelling the Crobex® index close price historical data are retrieved from the Zagreb stock exchange official internet pages. The prediction model is created in the way that for each of five days in advance it predicts the Crobex® close price. The prediction model is generated based on the input/output data plan by means of the Adaptive neuro-fuzzy inference system method, representing the Fuzzy inference system. It is of the essence to point out that for each day a separate fuzzy inference system is created by means of the Adaptive neuro-fuzzy inference system method based on the same set of input/output data, the only difference being that for every separate Fuzzy inference system different subsets for training and checking are used so that input variables are differently created. The input/output data set represents the historical data of the Crobex® index close price from 4 November 2010 to 24 January 2012 and the Crobex® index close price is predicted for the subsequent five days, the first day of prediction being 25 Jan 2012. After that the above mentioned input/output data set is shifted five days in advance and the Crobex® index close price is predicted in advance for the next five days starting with the last day of the input/output data set. In that way the Crobex® index close prices are predicted until 19 Oct 2012 based on the Crobex® index close price historical data. At the end of the paper qualitative and quantitative estimates are presented for the given approach of predicting the Crobex® index close price showing that the approach is useful for predicting within its limits.

Izvorni jezik
Engleski

Znanstvena područja
Računarstvo, Strojarstvo, Temeljne tehničke znanosti

POVEZANOST RADA