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http://dx.doi.org/10.13088/jiis.2014.20.4.43

An Optimized Combination of π-fuzzy Logic and Support Vector Machine for Stock Market Prediction  

Dao, Tuanhung (Graduate School of Business IT, Kookmin University)
Ahn, Hyunchul (Graduate School of Business IT, Kookmin University)
Publication Information
Journal of Intelligence and Information Systems / v.20, no.4, 2014 , pp. 43-58 More about this Journal
Abstract
As the use of trading systems has increased rapidly, many researchers have become interested in developing effective stock market prediction models using artificial intelligence techniques. Stock market prediction involves multifaceted interactions between market-controlling factors and unknown random processes. A successful stock prediction model achieves the most accurate result from minimum input data with the least complex model. In this research, we develop a combination model of ${\pi}$-fuzzy logic and support vector machine (SVM) models, using a genetic algorithm to optimize the parameters of the SVM and ${\pi}$-fuzzy functions, as well as feature subset selection to improve the performance of stock market prediction. To evaluate the performance of our proposed model, we compare the performance of our model to other comparative models, including the logistic regression, multiple discriminant analysis, classification and regression tree, artificial neural network, SVM, and fuzzy SVM models, with the same data. The results show that our model outperforms all other comparative models in prediction accuracy as well as return on investment.
Keywords
Stock market prediction; Trading systems; ${\pi}$-fuzzy logic; Support vector machine; Genetic algorithm;
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Times Cited By KSCI : 2  (Citation Analysis)
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