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Symmetry 2017, 9(7), 124; doi:10.3390/sym9070124

Forecasting Based on High-Order Fuzzy-Fluctuation Trends and Particle Swarm Optimization Machine Learning

1
School of management, Jiangsu University, Zhenjiang 212013, China
2
Rensselaer Polytechnic Institute, Troy, NY 12180, USA
*
Author to whom correspondence should be addressed.
Received: 6 June 2017 / Revised: 13 July 2017 / Accepted: 17 July 2017 / Published: 21 July 2017
(This article belongs to the Special Issue Fuzzy Sets Theory and Its Applications)
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Abstract

Most existing fuzzy forecasting models partition historical training time series into fuzzy time series and build fuzzy-trend logical relationship groups to generate forecasting rules. The determination process of intervals is complex and uncertain. In this paper, we present a novel fuzzy forecasting model based on high-order fuzzy-fluctuation trends and the fuzzy-fluctuation logical relationships of the training time series. Firstly, we compare each piece of data with the data of theprevious day in a historical training time series to generate a new fluctuation trend time series (FTTS). Then, we fuzzify the FTTS into a fuzzy-fluctuation time series (FFTS) according to the up, equal, or down range and orientation of the fluctuations. Since the relationship between historical FFTS and the fluctuation trend of the future is nonlinear, a particle swarm optimization (PSO) algorithm is employed to estimate the proportions for the lagged variables of the fuzzy AR (n) model. Finally, we use the acquired parameters to forecast future fluctuations. In order to compare the performance of the proposed model with that of the other models, we apply the proposed method to forecast the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) time series datasets. The experimental results and the comparison results show that the proposed method can be successfully applied in stock market forecasting or similarkinds of time series. We also apply the proposed method to forecast Shanghai Stock Exchange Composite Index (SHSECI) and DAX30 index to verify its effectiveness and universality. View Full-Text
Keywords: fuzzy forecasting; fuzzy-fluctuation trend; particle swarm optimization; fuzzy time series; fuzzy logical relationship fuzzy forecasting; fuzzy-fluctuation trend; particle swarm optimization; fuzzy time series; fuzzy logical relationship
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Jia, J.; Zhao, A.; Guan, S. Forecasting Based on High-Order Fuzzy-Fluctuation Trends and Particle Swarm Optimization Machine Learning. Symmetry 2017, 9, 124.

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