Integration of genetic fuzzy systems and artificial neural networks for stock price forecasting

Stock market prediction is regarded as a challenging task in financial time-series forecasting. The central idea to successful stock market prediction is achieving best results using minimum required input data and the least complex stock market model. To achieve these purposes this article presents an integrated approach based on genetic fuzzy systems (GFS) and artificial neural networks (ANN) for constructing a stock price forecasting expert system. At first, we use stepwise regression analysis (SRA) to determine factors which have most influence on stock prices. At the next stage we divide our raw data into k clusters by means of self-organizing map (SOM) neural networks. Finally, all clusters will be fed into independent GFS models with the ability of rule base extraction and data base tuning. We evaluate capability of the proposed approach by applying it on stock price data gathered from IT and Airlines sectors, and compare the outcomes with previous stock price forecasting methods using mean absolute percentage error (MAPE). Results show that the proposed approach outperforms all previous methods, so it can be considered as a suitable tool for stock price forecasting problems.     

An improved sales forecasting approach by the integration of genetic fuzzy systems and data clustering: Case study of printed circuit board

Success in forecasting and analyzing sales for given goods or services can mean the difference between profit and loss for an accounting period and, ultimately, the success or failure of the business itself. Therefore, reliable prediction of sales becomes a very important task. This article presents a novel sales forecasting approach by the integration of genetic fuzzy systems (GFS) and data clustering to construct a sales forecasting expert system. At first, all records of data are categorized into k clusters by using the K-means model. Then, all clusters will be fed into independent GFS models with the ability of rule base extraction and data base tuning. In order to evaluate our K-means genetic fuzzy system (KGFS) we apply it on a printed circuit board (PCB) sales forecasting problem which has been used as the case in different studies. We compare the performance of an extracted expert system with previous sales forecasting methods using mean absolute percentage error (MAPE) and root mean square error (RMSE). Experimental results show that the proposed approach outperforms the other previous approaches.     

Forecasting the number of outpatient visits using a new fuzzy time series based on weighted-transitional matrix

Forecasting the number of outpatient visits can help the expert of healthcare administration to make a strategic decision. If the number of outpatient visits could be forecast accurately, it would provide the administrators of healthcare with a basis to manage hospitals effectively, to make up a schedule for human resources and finances reasonably, and distribute hospital material resources suitably. This paper proposes a new fuzzy time series method, which is based on weighted-transitional matrix, also proposes two new forecasting methods: the Expectation Method and the Grade-Selection Method. From the verification and results, the proposed methods exhibit a relatively lower error rate in comparison to the listing methods, and could be more stable in facing the ever-changing future trends. The characteristics of the proposed methods could overcome the drawback of the insufficient handling of information to construct a forecasting rule in previous researches.     

An improved method for forecasting enrollments based on fuzzy time series and particle swarm optimization

Many forecasting models based on the concept of fuzzy time series have been proposed in the past decades. Two main factors, which are the lengths of intervals and the content of forecast rules, impact the forecasted accuracy of the models. How to find the proper content of the main factors to improve the forecasted accuracy has become an interesting research topic. Some forecasting models, which combined heuristic methods or evolutionary algorithms (such as genetic algorithms and simulated annealing) with the fuzzy time series, have been proposed but their results are not satisfied. In this paper, we use the particle swarm optimization to find the proper content of the main factors. A new hybrid forecasting model which combined particle swarm optimization with fuzzy time series is proposed to improve the forecasted accuracy. The experimental results of forecasting enrollments of students of the University of Alabama show that the new model is better than any existing models, and it can get better quality solutions based on the first-order and the high-order fuzzy time series, respectively.     

A Dynamically Constrained Multiobjective Genetic Fuzzy System for Regression Problems

In this paper, a multiobjective genetic fuzzy system (GFS) to learn the granularities of fuzzy partitions, tuning the membership functions (MFs), and learning the fuzzy rules is presented. It uses dynamic constraints, which enable three-parameter MF tuning to improve the accuracy while guaranteeing the transparency of fuzzy partitions. The fuzzy models (FMs) are initialized by a method that combines the benefits of Wang–Mendel (WM) and decision-tree algorithms. Thus, the initial FMs have less rules, rule conditions, and input variables than if WM initialization were to be used. Moreover, the fuzzy partitions of initial FMs are always transparent. Our approach is tested against recent multiobjective and monoobjective GFSs on six benchmark problems. It is concluded that the accuracy and interpretability of our FMs are always comparable or better than those in the comparative studies. Furthermore, on some benchmark problems, our approach clearly outperforms some comparative approaches. Suitability of our approach for higher dimensional problems is shown by studying three benchmark problems that have up to 21 input variables.      

Using multiplicative neuron model to establish fuzzy logic relationships

Determination of fuzzy logic relationships between observations is quite effective on the forecasting performance of fuzzy time series approaches. In various studies available in the literature, it has been seen that utilizing artificial neural networks for establishing fuzzy relations increase the forecasting accuracy. In this study, a novel high order fuzzy time series forecasting approach in which multiplicative neuron model is used to define fuzzy relations is proposed in order to reach high forecasting level. Also, particle swarm optimization method is utilized to train multiplicative neuron model. In order to show forecasting performance of the proposed method, it is applied to a well-known data Taiwan future exchange and the results produced by the proposed approach is compared to those obtained from other fuzzy time series forecasting models. As a result of the implementation, it is observed that the proposed approach gives the best forecasts for Taiwan future exchange time series.     

An evolutionary‐based adaptive neuro‐fuzzy inference system for intelligent short‐term load forecasting

The continuing growth in size and complexity of electric power systems requires the development of applicable load forecasting models to estimate the future electrical energy demands accurately. This paper presents a novel load forecasting approach called genetic‐based adaptive neuro‐fuzzy inference system (GBANFIS) to construct short‐term load forecasting expert systems and controllers. At the first stage, all records of data are searched by a novel genetic algorithm (GA) to find the most suitable feature of inputs to construct the model. Then, determined inputs are fed into the adaptive neuro‐fuzzy inference system to evolve the initial knowledge‐base of the expert system. Finally, the initial knowledge‐base is searched by another robust GA to induce a better cooperation among the rules by rule weight derivation and rule selection mechanisms. We show the superiority and applicability of our approach by applying it to the Iranian monthly electrical energy demand problem and comparing it with the most frequently adopted approaches in this field. Results indicate that GBANFIS outperforms its rival approaches and is a promising tool for dealing with short‐term load forecasting problems.     

INTUITIONISTIC FUZZY SETS BASED METHOD FOR FUZZY TIME SERIES FORECASTING

Fuzzy time series models are of great interest in forecasting when the information is imprecise and vague. However, the major problem in fuzzy time series forecasting is the accuracy of the forecasted values. In the present study we propose a hybrid method of forecasting based on fuzzy time series and intuitionistic fuzzy sets. The proposed model is a simplified computational approach that uses the degree of nondeterminacy to establish fuzzy logical relations on time series data. The developed model was implemented on the historical enrollment data for the University of Alabama and the forecasted values were compared with the results of existing methods to show its superiority. The suitability of the proposed method was also examined in forecasting market share prices of the State Bank of India on the Bombay Stock Exchange, India.     

A new hybrid approach based on SARIMA and partial high order bivariate fuzzy time series forecasting model

In the literature, there have been many studies using fuzzy time series for the purpose of forecasting. The most studied model is the first order fuzzy time series model. In this model, an observation of fuzzy time series is obtained by using the previous observation. In other words, only the first lagged variable is used when constructing the first order fuzzy time series model. Therefore, this model can not be sufficient for some time series such as seasonal time series which is an important class in time series models. Besides, the time series encountered in real life have not only autoregressive (AR) structure but also moving average (MA) structure. The fuzzy time series models available in the literature are AR structured and are not appropriate for MA structured time series. In this paper, a hybrid approach is proposed in order to analyze seasonal fuzzy time series. The proposed hybrid approach is based on partial high order bivariate fuzzy time series forecasting model which is first introduced in this paper. The order of this model is determined by utilizing Box-Jenkins method. In order to show the efficiency of the proposed hybrid method, real time series are analyzed with this method. The results obtained from the proposed method are compared with the other methods. As a result, it is observed that more accurate results are obtained from the proposed hybrid method.     

Power quality time series data mining using S-transform and fuzzy expert system

This paper presents a new approach for power quality time series data mining using S-transform based fuzzy expert system (FES). Initially the power signal time series disturbance data are pre-processed through an advanced signal processing tool such as S-transform and various statistical features are extracted, which are used as inputs to the fuzzy expert system for power quality event detection. The proposed expert system uses a data mining approach for assigning a certainty factor for each classification rule, thereby providing robustness to the rule in the presence of noise. Further to provide a very high degree of accuracy in pattern classification, both the Gaussian and trapezoidal membership functions of the concerned fuzzy sets are optimized using a fuzzy logic based adaptive particle swarm optimization (PSO) technique. The proposed hybrid PSO-fuzzy expert system (PSOFES) provides accurate classification rates even under noisy conditions compared to the existing techniques, which show the efficacy and robustness of the proposed algorithm for power quality time series data mining.     

Forecasting enrollments using high‐order fuzzy time series and genetic algorithms

In recent years, many researchers have presented different forecasting methods to deal with forecasting problems based on fuzzy time series. When we deal with forecasting problems using fuzzy time series, it is important to decide the length of each interval in the universe of discourse due to the fact that it will affect the forecasting accuracy rate. In this article, we present a new method to deal with the forecasting problems based on high‐order fuzzy time series and genetic algorithms, where the length of each interval in the universe of discourse is tuned by using genetic algorithms, and the historical enrollments of the University of Alabama are used to illustrate the forecasting process of the proposed method. The proposed method can achieve a higher forecasting accuracy rate than the existing methods. © 2006 Wiley Periodicals, Inc. Int J Int Syst 21: 485–501, 2006.     

A hybrid fuzzy and neural approach for DRAM price forecasting

The trend in the price of dynamic random access memory (DRAM) is a very important prosperity index in the semiconductor industry. To further enhance the performance of DRAM price forecasting, a hybrid fuzzy and neural approach is proposed in this study. In the proposed approach, multiple experts construct their own fuzzy multiple linear regression models from various viewpoints to forecast the price of a DRAM product. Each fuzzy multiple linear regression model can be converted into two equivalent nonlinear programming problems to be solved. To aggregate these fuzzy price forecasts, a two-step aggregation mechanism is applied. At the first step, fuzzy intersection is applied to aggregate the fuzzy price forecasts into a polygon-shaped fuzzy number, in order to improve the precision. After that, a back propagation network is constructed to defuzzify the polygon-shaped fuzzy number and to generate a representative/crisp value, so as to enhance the accuracy. A real example is used to evaluate the effectiveness of the proposed methodology. According to experimental results, the proposed methodology improved both the precision and accuracy of DRAM price forecasting by 66% and 43%, respectively.     

Fuzzy lagged variable selection in fuzzy time series with genetic algorithms

Fuzzy time series forecasting models can be divided into two subclasses which are first order and high order. In high order models, all lagged variables exist in the model according to the model order. Thus, some of these can exist in the model although these lagged variables are not significant in explaining fuzzy relationships. If such lagged variables can be removed from the model, fuzzy relationships will be defined better and it will cause more accurate forecasting results. In this study, a new fuzzy time series forecasting model has been proposed by defining a partial high order fuzzy time series forecasting model in which the selection of fuzzy lagged variables is done by using genetic algorithms. The proposed method is applied to some real life time series and obtained results are compared with those obtained from other methods available in the literature. It is shown that the proposed method has high forecasting accuracy.     

Partitions based computational method for high-order fuzzy time series forecasting

In this paper, we present a computational method of forecasting based on multiple partitioning and higher order fuzzy time series. The developed computational method provides a better approach to enhance the accuracy in forecasted values. The objective of the present study is to establish the fuzzy logical relations of different order for each forecast. Robustness of the proposed method is also examined in case of external perturbation that causes the fluctuations in time series data. The general suitability of the developed model has been tested by implementing it in forecasting of student enrollments at University of Alabama. Further it has also been implemented in the forecasting the market price of share of State Bank of India (SBI) at Bombay Stock Exchange (BSE), India. In order to show the superiority of the proposed model over few existing models, the results obtained have been compared in terms of mean square and average forecasting errors.     

直觉模糊时间序列建模及应用

针对模糊时间序列对于预测不确定性的控制、有效的分区间隔和不同分区间隔达到一致的预测准确性方面研究的不足,构建了直觉模糊时间序列预测模型。新模型应用直觉模糊??均值聚类算法优化序列区间划分,充分考虑数据点固有的模糊不确定性,较好地反映了系统的特征分布,提高了复杂环境中时间序列的预测性能且允许处理多因子预测问题。最后通过实例验证了所提出方法的有效性和优越性。     

基于模糊逻辑和神经网络的电力负荷预测

设计并实现了神经网络和模糊逻辑相结合的综合预测模型进行短期电力负荷预测。由神经网络和模糊逻辑分别对基本负荷和受天气、节假日影响的负荷进行预测,使其在天气突变等情况下也能达到较高的预测精度。采用此模型对石家庄电力系统负荷进行预测分析,取得了令人满意的结果。     

A Hybrid Learning Method for the Data-Driven Design of Linguistic Dynamic Systems

In lots of data based prediction or modeling applications, uncertainties and/or noises in the observed data cannot be avoided. In such cases, it is more preferable and reasonable to provide linguistic (fuzzy) predicted results described by fuzzy memberships or fuzzy sets instead of the crisp estimates depicted by numbers. Linguistic dynamic system (LDS) provides a powerful tool for yielding linguistic (fuzzy) results. However, it is still difficult to construct LDS models from observed data. To solve this issue, this paper first presents a simplified LDS whose inputoutput mapping can be determined by closed-form formulas. Then, a hybrid learning method is proposed to construct the data-driven LDS model. The proposed hybrid learning method firstly generates fuzzy rules by the subtractive clustering method, then carries out further optimization of centers of the consequent triangular fuzzy sets in the fuzzy rules, and finally adopts multiobjective optimization algorithm to determine the left and right end-points of the consequent triangular fuzzy sets. The proposed approach is successfully applied to three real-world prediction applications which are: prediction of energy consumption of a building, forecasting of the traffic flow, and prediction of the wind speed. Simulation results show that the uncertainties in the data can be effectively captured by the linguistic (fuzzy) estimates. It can also be extended to some other prediction or modeling problems, in which observed data have high levels of uncertainties.      

Hybridization of fuzzy GBML approaches for pattern classification problems

We propose a hybrid algorithm of two fuzzy genetics-based machine learning approaches (i.e., Michigan and Pittsburgh) for designing fuzzy rule-based classification systems. First, we examine the search ability of each approach to efficiently find fuzzy rule-based systems with high classification accuracy. It is clearly demonstrated that each approach has its own advantages and disadvantages. Next, we combine these two approaches into a single hybrid algorithm. Our hybrid algorithm is based on the Pittsburgh approach where a set of fuzzy rules is handled as an individual. Genetic operations for generating new fuzzy rules in the Michigan approach are utilized as a kind of heuristic mutation for partially modifying each rule set. Then, we compare our hybrid algorithm with the Michigan and Pittsburgh approaches. Experimental results show that our hybrid algorithm has higher search ability. The necessity of a heuristic specification method of antecedent fuzzy sets is also demonstrated by computational experiments on high-dimensional problems. Finally, we examine the generalization ability of fuzzy rule-based classification systems designed by our hybrid algorithm.     

AGFS: Adaptive Genetic Fuzzy System for medical data classification

A Genetic Fuzzy System (GFS) is basically a fuzzy system augmented by a learning process based on a genetic algorithm (GA). Fuzzy systems have demonstrated their ability to solve different kinds of problems in various application domains. Currently, there is an increasing interest to augment fuzzy systems with learning and adaptation capabilities. Two of the most successful approaches to hybridize fuzzy systems with learning and adaptation methods have been made in the realm of soft computing. The GA can be merged with Fuzzy system for different purposes like rule selection, membership function optimization, rule generation, co-efficient optimization, for data classification. Here we propose an Adaptive Genetic Fuzzy System (AGFS) for optimizing rules and membership functions for medical data classification process. The primary intension of the research is 1) Generating rules from data as well as for the optimized rules selection, adapting of genetic algorithm is done and to explain the exploration problem in genetic algorithm, introduction of new operator, called systematic addition is done, 2) Proposing a simple technique for scheming of membership function and Discretization, and 3) Designing a fitness function by allowing the frequency of occurrence of the rules in the training data. Finally, to establish the efficiency of the proposed classifier the presentation of the anticipated genetic-fuzzy classifier is evaluated with quantitative, qualitative and comparative analysis. From the outcome, AGFS obtained better accuracy when compared to the existing systems.     

D-FNN based soft-sensor modeling and migration reconfiguration of polymerizing process

A soft-sensor modeling method based on dynamic fuzzy neural network (D-FNN) is proposed for forecasting the key technology indicator convention velocity of vinyl chloride monomer (VCM) in the polyvinylchloride (PVC) polymerizing process. Based on the problem complexity and precision demand, D-FNN model can be constructed combining the system prior knowledge. Firstly, kernel principal component analysis (KPCA) method is adopted to select the auxiliary variables of soft-sensing model in order to reduce the model dimensionality. Then a hybrid structure and parameters learning algorithm of D-FNN is proposed to achieve the favorable approximation performance, which includes the rule extraction principles, the classification learning strategy, the precedent parameters arrangements, the rule trimming technology based on error descendent ratio and the consequent parameters decision based on extended Kalman filter (EKF). The proposed soft-sensor model can automatically determine if the fuzzy rules are generated/eliminated or not so as to realize the nonlinear mapping between input and output variables of the discussed soft-sensor model. Model migration method is adopted to realize the on-line adaptive revision and reconfiguration of soft-sensor model. In the end, simulation results show that the proposed model can significantly enhance the predictive accuracy and robustness of the technical-and-economic indexes and satisfy the real-time control requirements of PVC polymerizing production process.