Neurocomputing104(2013)10–25
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Neurocomputing
journalhomepage:/locate/neucom
AHMM-basedadaptivefuzzyinferencesystemforstockmarketforecasting
Md.Ra ulHassana,n,KotagiriRamamohanaraob,JoarderKamruzzamanc,Musta zurRahmanb,M.MarufHossainb
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DepartmentofInformationandComputerScience,KingFahdUniversityofPetroleumandMinerals,Dhahran31261,SaudiArabiaDepartmentofComputerScienceandSoftwareEngineering,TheUniversityofMelbourne,Victoria3010,Australiac
GippslandSchoolofIT,MonashUniversity,Churchill,VIC3842,Australia
b
articleinfo
Articlehistory:
Received24March2012Receivedinrevisedform12July2012
Accepted12September2012CommunicatedbyP.Zhang
Availableonline6December2012Keywords:Fuzzysystem
HiddenMarkovModel(HMM)StockmarketforecastingLog-likelihoodvalue
abstract
…… 此处隐藏1840字 ……
1.Itshouldbeabletocapturethecharacteristicsofnewinforma-tionasitbecomesavailable;
2.Thesystemshouldbeabletorepresentanoverallknowledgeabouttheproblem,withoutneedingtomemorizethelargeamountofrawdata;
3.Thesystemshouldbeabletoupdateitsknowledgeinrealtimeandincrementallyupdateitsmodel;
4.Theperformanceoftheadaptivesystemshouldbebetterthanthatofthestaticof inesystemfornonstationarytimeseriesdata.Neuralnetworks,havebeenpopularforsupervisedlearning;however,ithasbeendemonstratedbyseveralstudies[1–7]thatthesetoolscanbelimitedintheirabilitytobeadaptive.Incontrast,FuzzyLogiccanmoreeasilybemadeadaptive[8],sincenewrulescanbegeneratedonlineandruleparameterscanbemodi edinaccordancewiththenewdata.Whengeneratinganadaptivefuzzymodel,performanceisacrucialfactor.Particularly,sinceincreasingthenumberofrulesmaynotalwaysguaranteeanimprovedperformance.However,changingtheparametervaluesaccordingtonewdatacanpotentiallyovercomethein uenceofthefarthestpastdatainthemodelconstruction.
Thereexistanumberofadaptivemodelswhichcombineaneuralnetworklikestructuretooptimizetheparametersoffuzzyrules.OneexampleistheAdaptiveNeuroFuzzyInferenceSystem(ANFIS)[8].Thelimitationofthissystemisthatitcannotadapt
Correspondingauthor.Tel.:þ610383441408;fax:þ610393481184.E-mailaddresses:hassan.ra ul@,mrhassan@kfupm.edu.sa(Md.R.Hassan).
0925-2312/$-seefrontmatter&2012ElsevierB.V.Allrightsreserved./10.1016/j.neucom.2012.09.017
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