A wavelet-based autoregressive fuzzy model for forecasting algal blooms

This paper proposes fuzzy models for forecasting the complex behavior of algal blooms. The models are developed through the integration of autoregressive models, the Takagi-Sugeno fuzzy model, and discrete wavelet transform algorithms. The premise parts of the proposed models are determined using the subtractive clustering technique and the consequent parts are optimized using weighted least squares. To train and validate the proposed fuzzy models, a large number of data sets were collected from Daecheong reservoir in Geum River in the Republic of Korea. The data include both water quality and hydrological variables. Total nitrogen, total phosphorous, dissolved oxygen, chemical oxygen demand, biochemical oxygen demand, pH, air temperature, water temperature and outflow water were evaluated as input signals while chlorophyll-a was used as an output. It is demonstrated from the simulation that the proposed fuzzy models are effective in forecasting algal blooms.     

A FCM-based deterministic forecasting model for fuzzy time series

The study of fuzzy time series has increasingly attracted much attention due to its salient capabilities of tackling uncertainty and vagueness inherent in the data collected. A variety of forecasting models including high-order models have been devoted to improving forecasting accuracy. However, the high-order forecasting approach is accompanied by the crucial problem of determining an appropriate order number. Consequently, such a deficiency was recently solved by Li and Cheng [S.-T. Li, Y.-C. Cheng, Deterministic Fuzzy time series model for forecasting enrollments, Computers and Mathematics with Applications 53 (2007) 1904–1920] using a deterministic forecasting method. In this paper, we propose a novel forecasting model to enhance forecasting functionality and allow processing of two-factor forecasting problems. In addition, this model applies fuzzy c-means (FCM) clustering to deal with interval partitioning, which takes the nature of data points into account and produces unequal-sized intervals. Furthermore, in order to cope with the randomness of initially assigned membership degrees of FCM clustering, Monte Carlo simulations are used to justify the reliability of the proposed model. The superior accuracy of the proposed model is demonstrated by experiments comparing it to other existing models using real-world empirical data.     

A new model for time-series forecasting using radial basis functions and exogenous data

In this paper, we present a new model for time-series forecasting using radial basis functions (RBFs) as a unit of artificial neural networks (ANNs), which allows the inclusion of exogenous information (EI) without additional pre-processing. We begin by summarizing the most well-known EI techniques used ad hoc, i.e., principal component analysis (PCA) and independent component analysis (ICA). We analyze the advantages and disadvantages of these techniques in time-series forecasting using Spanish bank and company stocks. Then, we describe a new hybrid model for time-series forecasting which combines ANNs with genetic algorithms (GAs). We also describe the possibilities when implementing the model on parallel processing systems.

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Applications of type-2 fuzzy logic systems to forecasting of time-series

In this paper, we begin with a type-1 fuzzy logic system (FLS), trained with noisy data. We then demonstrate how information about the noise in the training data can be incorporated into a type-2 FLS, which can be used to obtain bounds within which the true (noisefree) output is likely to lie. We do this with the example of a one-step predictor for the Mackey–Glass chaotic time-series [M.C. Mackey, L. Glass, Oscillation and chaos in physiological control systems, Science 197 (1977) 287–280]. We also demonstrate how a type-2 FLS can be used to obtain better predictions than those obtained with a type-1 FLS.     

A distance-based fuzzy time series model for exchange rates forecasting

Fuzzy time series model has been successfully employed in predicting stock prices and foreign exchange rates. In this paper, we propose a new fuzzy time series model termed as distance-based fuzzy time series (DBFTS) to predict the exchange rate. Unlike the existing fuzzy time series models which require exact match of the fuzzy logic relationships (FLRs), the distance-based fuzzy time series model uses the distance between two FLRs in selecting prediction rules. To predict the exchange rate, a two factors distance-based fuzzy time series model is constructed. The first factor of the model is the exchange rate itself and the second factor comprises many candidate variables affecting the fluctuation of exchange rates. Using the exchange rate data released by the Central Bank of Taiwan, we conducted several experiments on exchange rate forecasting. The experiment results showed that the distance-based fuzzy time series outperformed the random walk model and the artificial neural network model in terms of mean square error.     

A two stage fuzzy piecewise logistic model for penetration forecasting

It is undeniably crucial for a firm to be able to make a forecast regarding the sales volume of new products. However, the current economic environments invariably have uncertain factors and rapid fluctuations where decision makers must draw conclusions from minimal data. Previous studies combine scenario analysis and technology substitution models to forecast the market share of multigenerational technologies. However, a technology substitution model based on a logistic curve will not always fit the S curve well. Therefore, based on historical data and the data forecast by both the Scenario and Delphi methods, a two stage fuzzy piecewise logistic growth model with multiple objective programming is proposed herein. The piecewise concept is adopted in order to reflect the market impact of a new product such that it can be possible to determine the effective length of sales forecasting intervals even when handling a large variation in data or small size data. In order to demonstrate the model's performance, two cases in the Television and Telecommunication industries are treated using the proposed method and the technology substitution model or the Norton and Bass diffusion model. A comparison of the results shows that the proposed model outperforms the technology substitution model and the Norton and Bass diffusion model.     

一种新的时间序列分析算法及其在股票预测中的应用

分析了股票市场高度非线性的特点,给出了一种改进的时间序列分析算法。新算法利用径向基网络来对序列中的历史信息进行非线性组合,从而比基于线性组合的时间序列分析算法的基本模型更能有效地挖掘出序列中历史信息之间的相互作用。新算法还利用改进的遗传算法对径向基函数的中心和宽度进行了全局范围的优化选择,进一步提高了径向基网络的非线性映射能力。运用该算法对股票走势进行了预测,取得了令人满意的效果。     

基于AR_SVR模型的时间序列预测算法的研究

掌握农产品未来价格变化趋势,有利于正确引导农业生产,提出一种基于自回归与支持向量回归(auto regressive and support vector regression,AR_SVR)模型的非平稳时间序列预测方法.首先,利用AR模型对非平稳时间序列进行季节差分和差分,使其具有平稳性,然后给平稳序列定阶,最后用SVR模型拟合平稳序列,回推得出原始序列的预测值.实验结果表明,AR_SVR模型预测值与真实值很接近,具有较好的预测效果.     

A high-order fuzzy time series forecasting model for internet stock trading

Recently, many fuzzy time series models have already been used to solve nonlinear and complexity issues. However, first-order fuzzy time series models have proven to be insufficient for solving these problems. For this reason, many researchers proposed high-order fuzzy time series models and focused on three main issues: fuzzification, fuzzy logical relationships, and defuzzification. This paper presents a novel high-order fuzzy time series model which overcomes the drawback mentioned above. First, it uses entropy-based partitioning to more accurately define the linguistic intervals in the fuzzification procedure. Second, it applies an artificial neural network to compute the complicated fuzzy logical relationships. Third, it uses the adaptive expectation model to adjust the forecasting during the defuzzification procedure. To evaluate the proposed model, we used datasets from both the Taiwanese stock index from 2000 to 2003 and from the student enrollment records of the University of Alabama. The results of our study show that the proposed model is able to obtain an accurate forecast without encountering conventional fuzzy time series issues.     

A combination of hidden Markov model and fuzzy model for stock market forecasting

This paper presents a novel combination of the hidden Markov model (HMM) and the fuzzy models for forecasting stock market data. In a previous study we used an HMM to identify similar data patterns from the historical data and then used a weighted average to generate a ‘one-day-ahead’ forecast. This paper uses a similar approach to identify data patterns by using the HMM and then uses fuzzy logic to obtain a forecast value. The HMM's log-likelihood for each of the input data vectors is used to partition the dataspace. Each of the divided dataspaces is then used to generate a fuzzy rule. The fuzzy model developed from this approach is tested on stock market data drawn from different sectors. Experimental results clearly show an improved forecasting accuracy compared to other forecasting models such as, ARIMA, artificial neural network (ANN) and another HMM-based forecasting model.     

Deterministic fuzzy time series model for forecasting enrollments

The fuzzy time series has recently received increasing attention because of its capability of dealing with vague and incomplete data. There have been a variety of models developed to either improve forecasting accuracy or reduce computation overhead. However, the issues of controlling uncertainty in forecasting, effectively partitioning intervals, and consistently achieving forecasting accuracy with different interval lengths have been rarely investigated. This paper proposes a novel deterministic forecasting model to manage these crucial issues. In addition, an important parameter, the maximum length of subsequence in a fuzzy time series resulting in a certain state, is deterministically quantified. Experimental results using the University of Alabama’s enrollment data demonstrate that the proposed forecasting model outperforms the existing models in terms of accuracy, robustness, and reliability. Moreover, the forecasting model adheres to the consistency principle that a shorter interval length leads to more accurate results.     

一种新的模糊时间序列模型的预测方法

针对目前在模糊时间序列模型中论域划分及数据模糊化方法存在的问题,首先提出了基于模糊聚类算法(FCM)的具有可调参数的模糊时间序列论域的非等分划分方法;然后,在数据模糊化时通过距离客观地定义了模糊集,并利用最小标准误差(RMSE)确定最优的预测结果和聚类数;最后,通过 Alabama 大学注册人数的预测表明了所提出算法的有效性.     

Fuzzy dual-factor time-series for stock index forecasting

There is an old Wall Street adage goes, “It takes volume to make price move”. The contemporaneous relation between trading volume and stock returns has been studied since stock markets were first opened. Recent researchers such as Wang and Chin [Wang, C. Y., & Chin S. T. (2004). Profitability of return and volume-based investment strategies in China’s stock market. Pacific-Basin Finace Journal, 12, 541–564], Hodgson et al. [Hodgson, A., Masih, A. M. M., & Masih, R. (2006). Futures trading volume as a determinant of prices in different momentum phases. International Review of Financial Analysis, 15, 68–85], and Ting [Ting, J. J. L. (2003). Causalities of the Taiwan stock market. Physica A, 324, 285–295] have found the correlation between stock volume and price in stock markets. To verify this saying, in this paper, we propose a dual-factor modified fuzzy time-series model, which take stock index and trading volume as forecasting factors to predict stock index. In empirical analysis, we employ the TAIEX (Taiwan stock exchange capitalization weighted stock index) and NASDAQ (National Association of Securities Dealers Automated Quotations) as experimental datasets and two multiple-factor models, Chen’s [Chen, S. M. (2000). Temperature prediction using fuzzy time-series. IEEE Transactions on Cybernetics, 30 (2), 263–275] and Huarng and Yu’s [Huarng, K. H., & Yu, H. K. (2005). A type 2 fuzzy time-series model for stock index forecasting. Physica A, 353, 445–462], as comparison models. The experimental results indicate that the proposed model outperforms the listing models and the employed factors, stock index and the volume technical indicator, VR(t), are effective in stock index forecasting.     

A heuristic error-feedback learning algorithm for fuzzy modeling

Describes a type of fuzzy system with interpolating capability to extract MISO fuzzy rules from input-output sample data through learning. The proposed model inherits many merits from Sugeno-type models and their variations. A heuristic error-feedback learning algorithm associated with the model is suggested. Based on which, the estimator is shown to have a self-adjusting step when approaching a minimum     

Dimensionality reduction for multivariate time-series data mining

A multivariate time series is one of the most important objects of research in data mining. Time and variables are two of its distinctive characteristics that add the complication of the algorithms applied to data mining. Reduction in the dimensionality is often regarded as an effective way to address these issues. In this paper, we propose a method based on principal component analysis (PCA) to effectively reduce the dimensionality. We call it “piecewise representation based on PCA” (PPCA), which segments multivariate time series into several sequences, calculates the covariance matrix for each of them in terms of the variables, and employs PCA to obtain the principal components in an average covariance matrix. The results of the experiments, including retained information analysis, classification, and a comparison of the central processing unit time consumption, demonstrate that the PPCA method used to reduce the dimensionality in multivariate time series is superior to the prior methods.

     

A comparison study between fuzzy time series model and ARIMA model for forecasting Taiwan export

This study compares the application of two forecasting methods on the amount of Taiwan export, the ARIMA time series method and the fuzzy time series method. Models discussed for the fuzzy time series method include the Factor models, the Heuristic models, and the Markov model. When the sample period is prolong in our models, the ARIMA model shows smaller than predicted error and closer predicted trajectory to the realistic trend than those of the fuzzy model, resulted in more accurate forecasts of the export amount in the ARIMA model. Especially, the coefficient of the error term for the previous period has increased to 79%, implying the influential effect of external factors. These external factors attribute to the export amount of Taiwan according to the economic viewpoints. However, this impact reduces as time progressing and the export amount of the lag period of 12 or 13 do not affect current export amount anymore. In conclusion, when the sample period is shorter with only a small set of data available, the fuzzy time series models can be utilized to predict export values accurately, outperforming the ARIMA model.     

A multivariate model of fuzzy integrated logical forecasting method (M-FILF) and multiplicative time series clustering: A model of time-varying volatility for dry cargo freight market

The aim of this paper is to improve the fuzzy logical forecasting model (FILF) by utilizing multivariate inference and the partitioning problem for an exponentially distributed time series by using a multiplicative clustering approach. Fuzzy time series (FTS) is a growing study field in computer science and its superiority is indicated frequently. Since the conventional time series analysis requires various pre-conditions, the FTS framework is very useful and convenient for many problems in business practice. This paper particularly investigates pricing problems in the shipping business and price-volatility relationship is the theoretical point of the proposed approach. Both FTS and conventional time series results are comparatively presented in the final section and superiority of the proposed method is explicitly noted.     

A simulation study of artificial neural networks for nonlinear time-series forecasting

This study presents an experimental evaluation of neural networks for nonlinear time-series forecasting. The effects of three main factors — input nodes, hidden nodes and sample size, are examined through a simulated computer experiment. Results show that neural networks are valuable tools for modeling and forecasting nonlinear time series while traditional linear methods are not as competent for this task. The number of input nodes is much more important than the number of hidden nodes in neural network model building for forecasting. Moreover, large sample is helpful to ease the overfitting problem.Scope and purposeInterest in using artificial neural networks for forecasting has led to a tremendous surge in research activities in the past decade. Yet, mixed results are often reported in the literature and the effect of key modeling factors on performance has not been thoroughly examined. The lack of systematic approaches to neural network model building is probably the primary cause of inconsistencies in reported findings. In this paper, we present a systematic investigation of the application of neural networks for nonlinear time-series analysis and forecasting. The purpose is to have a detailed examination of the effects of certain important neural network modeling factors on nonlinear time-series modeling and forecasting.     

A multivariate fuzzy c-means method

Fuzzy c-means (FCMs) is an important and popular unsupervised partitioning algorithm used in several application domains such as pattern recognition, machine learning and data mining. Although the FCM has shown good performance in detecting clusters, the membership values for each individual computed to each of the clusters cannot indicate how well the individuals are classified. In this paper, a new approach to handle the memberships based on the inherent information in each feature is presented. The algorithm produces a membership matrix for each individual, the membership values are between zero and one and measure the similarity of this individual to the center of each cluster according to each feature. These values can change at each iteration of the algorithm and they are different from one feature to another and from one cluster to another in order to increase the performance of the fuzzy c-means clustering algorithm. To obtain a fuzzy partition by class of the input data set, a way to compute the class membership values is also proposed in this work. Experiments with synthetic and real data sets show that the proposed approach produces good quality of clustering.     

Trend time-series modeling and forecasting with neural networks.

Despite its great importance, there has been no general consensus on how to model the trends in time-series data. Compared to traditional approaches, neural networks (NNs) have shown some promise in time-series forecasting. This paper investigates how to best model trend time series using NNs. Four different strategies (raw data, raw data with time index, detrending, and differencing) are used to model various trend patterns (linear, nonlinear, deterministic, stochastic, and breaking trend). We find that with NNs differencing often gives meritorious results regardless of the underlying data generating processes (DGPs). This finding is also confirmed by the real gross national product (GNP) series.