| 基于专家知识的模糊时间序列预测模型及应用 |
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| 引用本文： | 杨一文,蔺玉佩.基于专家知识的模糊时间序列预测模型及应用[J].系统管理学报,2012,21(1):120-125,144. |
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| 作者姓名： | 杨一文 蔺玉佩 |
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| 作者单位： | 西北工业大学管理学院,西安,710129 |
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| 基金项目： | 国家自然科学基金资助项目(70471026);教育部人文社会科学研究基金规划资助项目(09YJAZH073) |
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| 摘 要： | 将投资专家的成功经验引入模糊时间序列模型,实现股票市场走势的多步预测。根据专家经验构造多个反映市场结构特征的变量并将其模糊化为模糊时间序列;建立具有多前件、高阶模糊关系的模糊时间序列预测模型;最后,将该模型用于股票指数预测。结果表明,与经典模糊时间序列模型相比,其预测精度有了较大提高。
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| 关 键 词： | 模糊时间序列 专家知识 预测 股票市场 |
Fuzzy Time Series Forecasting Model based on Expertise and Its Applications in Stock Markets |
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| YANG Yi-wen
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LIN Yu-pei.Fuzzy Time Series Forecasting Model based on Expertise and Its Applications in Stock Markets[J].Systems Engineering Theory·Methodology·Applications,2012,21(1):120-125,144. |
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| Authors: | YANG Yi-wen LIN Yu-pei |
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| Institution: | (School of Management,Northwestern Polytechnical University,Xi’an 710049,China) |
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| Abstract: | This paper presents a method for introducing the successful investing expertise into the fuzzy time series model,The model is then used to perform multi-step forecasting of the stock markets.First,the expert’s investing experience is transformed into computable variables.These variables or time series,reflecting the market structure,are fuzzified into fuzzy time series.Then,the fuzzy time series model with high-order fuzzy relationships of multi-factors is built to forecast the stock markets.The model is tested by using daily Shanghai Stock Exchange Composite index and Shenzhen Stock Exchange Component index,respectively.The results show that the model does improve the prediction accuracy compared with the benchmark model. |
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| Keywords: | fuzzy time series investing expertise forecasting stock market |
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