A hybrid multi-order fuzzy time series for forecasting stock markets

摘要

This paper proposes a hybrid model based on multi-order fuzzy time series, which employs rough sets theory to mine fuzzy logical relationship from time series and an adaptive expectation model to adjust forecasting results, to improve forecasting accuracy. Two empirical stock markets (TAIEX and NASDAQ) are used as empirical databases to verify the forecasting performance of the proposed model, and two other methodologies, proposed earlier by Chen and Yu, are employed as comparison models. Besides, to compare with conventional statistic method, the partial autocorrelation function and autoregressive models are utilized to estimate the time lags periods within the databases. Based on comparison results, the proposed model can effectively improve the forecasting performance and outperforms the listing models. From the empirical study, the conventional statistic method and the proposed model both have revealed that the estimated time lags for the two empirical databases are one lagged period.