Stock trading using RSPOP: a novel rough set-based neuro-fuzzy approach.
This paper investigates the method of forecasting stock price difference on artificially generated price series data using neuro-fuzzy systems and neural networks. As trading profits is more important to an investor than statistical performance, this paper proposes a novel rough set-based neuro-fuzzy stock trading decision model called stock trading using rough set-based pseudo outer-product (RSPOP) which synergizes the price difference forecast method with a forecast bottleneck free trading decision model. The proposed stock trading with forecast model uses the pseudo outer-product based fuzzy neural network using the compositional rule of inference [POPFNN-CRI(S)] with fuzzy rules identified using the RSPOP algorithm as the underlying predictor model and simple moving average trading rules in the stock trading decision model. Experimental results using the proposed stock trading with RSPOP forecast model on real world stock market data are presented. Trading profits in terms of portfolio end values obtained are benchmarked against stock trading with dynamic evolving neural-fuzzy inference system (DENFIS) forecast model, the stock trading without forecast model and the stock trading with ideal forecast model. Experimental results showed that the proposed model identified rules with greater interpretability and yielded significantly higher profits than the stock trading with DENFIS forecast model and the stock trading without forecast model.
Ang
Kai Keng
KK
Centre for Computational Intelligence, School of Computer Engineering, Nanyang Technological University, Singapore 639798, Singapore.
Quek
Chai
C
D000465:Algorithms; D001185:Artificial Intelligence; D003205:Computing Methodologies; D003661:Decision Support Techniques; D005544:Forecasting / Q000379:methods*; D017143:Fuzzy Logic; D005716:Game Theory; D007449:Investments; D018803:Models, Economic; D016571:Neural Networks, Computer; D010067:Ownership; D010363:Pattern Recognition, Automated / Q000379:methods