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Applied Rough Set Logics for Multi-Criteria Decision Analysis in Stock Index Volatility Projection

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  • Wen-Rong Jerry Ho

    ()
    (Department of Banking & Finance, Chinese Culture University, 55, Hwa-Kang Road, Yang-Ming-Shan, Taipei 111, Taiwan)

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    Abstract

    The main purpose of this paper is to advocate a rule-based forecasting technique for anticipating stock index volatility. This paper intends to set up a stock index indicators projection prototype by using a multiple criteria decision making model consisting of the cluster analysis (CA) technique and Rough Set Theory (RST) to select the important attributes and forecast TSEC Capitalization Weighted Stock Index. The projection prototype was then released to forecast the stock index in the first half of 2009 with an accuracy of 66.67%. The results point out that the decision rules were authenticated to employ in forecasting the stock index volatility appropriately.

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    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal Review of Pacific Basin Financial Markets and Policies.

    Volume (Year): 14 (2011)
    Issue (Month): 04 ()
    Pages: 715-735

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    Handle: RePEc:wsi:rpbfmp:v:14:y:2011:i:04:p:715-735

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    Related research

    Keywords: Stock index volatility; cluster analysis (CA); rough set theory (RST); multiple criteria decision making (MCDM);

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