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Financial Fuzzy Time Series Models Based on Ordered Fuzzy Numbers

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Time Series Analysis, Modeling and Applications

Part of the book series: Intelligent Systems Reference Library ((ISRL,volume 47))

Abstract

The purpose of this chapter is to present an original concept of financial fuzzy time series models based on financial data in the form of Japanese Candlestick Charts. In this approach the Japanese Candlesticks are modeled using Ordered Fuzzy Numbers (OFN) called further Ordered Fuzzy Candlesticks (OFC). The use of ordered fuzzy numbers allows modeling uncertainty associated with financial data. Thanks to well-defined arithmetic of ordered fuzzy numbers, one can construct models of fuzzy time series, such as e.g. an autoregressive process, where all input values are OFC, while the coefficients and output values are arbitrary OFN, in the form of classical equations, without using rule-based systems. Finally, several applications of these models for modeling and forecasting selected financial time series are presented.

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Author information

Authors and Affiliations

  1. Institute of Computer Science, Computational Intelligence Department, Cracow University of Technology, Warszawska 24, 31-155, Cracow, Poland

    Adam Marszałek & Tadeusz Burczyński

  2. Department for Strength of Materials and Computational Mechanics, Silesian University of Technology, Konarskiego 18A, 44-100, Gliwice, Poland

    Tadeusz Burczyński

Authors
  1. Adam Marszałek
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  2. Tadeusz Burczyński
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Corresponding author

Correspondence to Adam Marszałek .

Editor information

Editors and Affiliations

  1. , Electrical & Computer Engineering, University of Alberta, 9107 - 116 Street, 2nd Floor, ECERF, Edmonton, T6G 2V4, Canada

    Witold Pedrycz

  2. , Graduate Institute of Educational Measur, National Taichung University of Educatio, Administration Building A110, Taichung, Taiwan R.O.C.

    Shyi-Ming Chen

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Marszałek, A., Burczyński, T. (2013). Financial Fuzzy Time Series Models Based on Ordered Fuzzy Numbers. In: Pedrycz, W., Chen, SM. (eds) Time Series Analysis, Modeling and Applications. Intelligent Systems Reference Library, vol 47. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-33439-9_4

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  • DOI: https://doi.org/10.1007/978-3-642-33439-9_4

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-33438-2

  • Online ISBN: 978-3-642-33439-9

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