A HMM-based adaptive fuzzy inference system for stock market

时间:2022-11-25 14:27:20 作者:壹号 字数:4113字

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

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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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