作者
Furong Ye, Liming Zhang, Defu Zhang, Hamido Fujita, Zhiguo Gong
发表日期
2016/11/1
期刊
Information Sciences
卷号
367
页码范围
41-57
出版商
Elsevier
简介
Financial trading is one of the most common risk investment actions in the modern economic environment because financial market systems are complex non-linear dynamic systems. It is a challenge to develop the inherent rules using the traditional time series prediction technique. In this paper, we proposed a new forecasting method based on multi-order fuzzy time series, technical analysis, and a genetic algorithm. Multi-order fuzzy time series (first-order, second-order and third-order) are applied in the proposed algorithm, and to improve the performance, genetic algorithm is used to find a good domain partition. Technical analysis such as the Rate of Change (ROC), Moving Average Convergence/Divergence (MACD), and Stochastic Oscillator (KDJ) are introduced to construct multi-variable fuzzy time series, and exponential smoothing is used to eliminate noise in the time series. In addition to the root mean …
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