An Intelligent Weighted Fuzzy Time Series Model Based on a Sine-Cosine Adaptive Human Learning Optimization Algorithm and Its Application to Financial Markets Forecasting

  • Ruixin Yang
  • Mingyang Xu
  • Junyi He
  • Stephen Ranshous
  • Nagiza F. Samatova
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 10604)

Abstract

Financial forecasting is an extremely challenging task given the complex, nonlinear nature of financial market systems. To overcome this challenge, we present an intelligent weighted fuzzy time series model for financial forecasting, which uses a sine-cosine adaptive human learning optimization (SCHLO) algorithm to search for the optimal parameters for forecasting. New weighted operators that consider frequency based chronological order and stock volume are analyzed, and SCHLO is integrated to determine the effective intervals and weighting factors. Furthermore, a novel short-term trend repair operation is developed to complement the final forecasting process. Finally, the proposed model is applied to four world major trading markets: the Dow Jones Index (DJI), the German Stock Index (DAX), the Japanese Stock Index (NIKKEI), and Taiwan Stock Index (TAIEX). Experimental results show that our model is consistently more accurate than the state-of-the-art baseline methods. The easy implementation and effective forecasting performance suggest our proposed model could be a favorable market application prospect.

Keywords

Weighted fuzzy time series Human learning optimization algorithm Financial markets forecasting 

Notes

Acknowledgements

This material is based upon work supported in whole or in part with funding from the Laboratory for Analytic Sciences (LAS). Any opinions, findings, conclusions, or recommendations expressed in this material are those of the author(s) and do not necessarily reflect the views of the LAS and/or any agency or entity of the United States Government.

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Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  • Ruixin Yang
    • 1
  • Mingyang Xu
    • 1
  • Junyi He
    • 3
  • Stephen Ranshous
    • 1
  • Nagiza F. Samatova
    • 1
    • 2
  1. 1.North Carolina State UniversityRaleighUSA
  2. 2.Oak Ridge National LaboratoryOak RidgeUSA
  3. 3.Shanghai UniversityShanghaiChina

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