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Fuzzy time-series based on Fibonacci sequence for stock price forecasting

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  • Chen, Tai-Liang
  • Cheng, Ching-Hsue
  • Jong Teoh, Hia

Abstract

Time-series models have been utilized to make reasonably accurate predictions in the areas of stock price movements, academic enrollments, weather, etc. For promoting the forecasting performance of fuzzy time-series models, this paper proposes a new model, which incorporates the concept of the Fibonacci sequence, the framework of Song and Chissom's model and the weighted method of Yu's model. This paper employs a 5-year period TSMC (Taiwan Semiconductor Manufacturing Company) stock price data and a 13-year period of TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) stock index data as experimental datasets. By comparing our forecasting performances with Chen's (Forecasting enrollments based on fuzzy time-series. Fuzzy Sets Syst. 81 (1996) 311–319), Yu's (Weighted fuzzy time-series models for TAIEX forecasting. Physica A 349 (2004) 609–624) and Huarng's (The application of neural networks to forecast fuzzy time series. Physica A 336 (2006) 481–491) models, we conclude that the proposed model surpasses in accuracy these conventional fuzzy time-series models.

Suggested Citation

  • Chen, Tai-Liang & Cheng, Ching-Hsue & Jong Teoh, Hia, 2007. "Fuzzy time-series based on Fibonacci sequence for stock price forecasting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 377-390.
    • Handle: RePEc:eee:phsmap:v:380:y:2007:i:c:p:377-390
    DOI: 10.1016/j.physa.2007.02.084
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    References listed on IDEAS

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    1. Huarng, Kunhuang & Yu, Tiffany Hui-Kuang, 2006. "The application of neural networks to forecast fuzzy time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 481-491.
    2. Yu, Hui-Kuang, 2005. "A refined fuzzy time-series model for forecasting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 346(3), pages 657-681.
    3. Huarng, Kunhuang & Yu, Hui-Kuang, 2005. "A Type 2 fuzzy time series model for stock index forecasting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 445-462.
    4. Faff, R. W. & Brooks, R. D. & Kee, Ho Yew, 2002. "New evidence on the impact of financial leverage on beta risk: A time-series approach," The North American Journal of Economics and Finance, Elsevier, vol. 13(1), pages 1-20, May.
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    Cited by:

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    9. Tai-Liang Chen, 2012. "Forecasting the Taiwan Stock Market with a Novel Momentum-based Fuzzy Time-series," Review of Economics & Finance, Better Advances Press, Canada, vol. 2, pages 38-50, February.
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