Commenced in January 2007
Paper Count: 31100
Stock Price Forecast by Using Neuro-Fuzzy Inference System
Abstract:In this research, the researchers have managed to design a model to investigate the current trend of stock price of the "IRAN KHODRO corporation" at Tehran Stock Exchange by utilizing an Adaptive Neuro - Fuzzy Inference system. For the Longterm Period, a Neuro-Fuzzy with two Triangular membership functions and four independent Variables including trade volume, Dividend Per Share (DPS), Price to Earning Ratio (P/E), and also closing Price and Stock Price fluctuation as an dependent variable are selected as an optimal model. For the short-term Period, a neureo – fuzzy model with two triangular membership functions for the first quarter of a year, two trapezoidal membership functions for the Second quarter of a year, two Gaussian combination membership functions for the third quarter of a year and two trapezoidal membership functions for the fourth quarter of a year were selected as an optimal model for the stock price forecasting. In addition, three independent variables including trade volume, price to earning ratio, closing Stock Price and a dependent variable of stock price fluctuation were selected as an optimal model. The findings of the research demonstrate that the trend of stock price could be forecasted with the lower level of error.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1072970Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 2320
 Takagi, Teiji & Sugeno, Michio. Fuzzy identification of systems and its application to modeling and control. IEEE Trans. Systems, Man and Cybernetics 15(1). 1985. PP: 116-132.
 Chang, Pei-Chann & Hao Liu, Chen. "A TSK type fuzzy rule based system for stock price prediction". Expert Systems with Applications, Vol. 34. 2007. PP: 135-144
 Afolabi, Mark & Olatoyosi, Olude. "Predicting Stock Prices Using a Hybrid Kohonen Self Organizing Map (SOM)". 40th Annual Hawaii International Conference on System Sciences (HICSS'07). 2007. PP: 1- 8.
 Berm├║dez, José & Segura, José Vicente. "Fuzzy portfolio optimization under downside risk measures". Fuzzy Sets and Systems, Vol. 158. 2007. PP: 769-782
 Quek, Chai. "Predicting The Impact Of Anticipator Action On U.S. Stock MarketÔÇöAn Event Study Using ANFIS (A Neural Fuzzy Model)". Computational Intelligence, No.23. 2005. PP: 117-141
 Marcek, Dusan. "Stock price forecasting: Autoregressive modeling and fuzzy neural network". Mathware and Soft Computing, No. 7. 2002. PP: 139-148.
 Tehran Stock Exchange Documents and Data Base. Available from (www.iranbourse.com or www.tsetmc.com). 2004.