Fusion ANFIS models based on multi-stock volatility causality for TAIEX forecasting

Stock market investors value accurate forecasting of future stock price from trading systems because of the potential for large profits. Thus, investors use different forecasting models, such as the time-series model, to assemble a superior investment portfolio. Unfortunately, there are three major drawbacks to the time-series model: (1) most statistical methods rely on some assumptions about the variables; (2) most conventional time-series models use only one variable in forecasting; and (3) the rules mined from artificial neural networks are not easily understandable. To address these shortcomings, this study proposes a new model based on multi-stock volatility causality, a fusion adaptive-network-based fuzzy inference system (ANFIS) procedure, for forecasting stock price problems in Taiwan. Furthermore, to illustrate the proposed model, three practical, collected stock index datasets from the USA and Taiwan stock markets are used in the empirical experiment. The experimental results indicate that the proposed model is superior to the listing methods in terms of root mean squared error, and further evaluation reveals that the profits comparison results for the proposed model produce higher profits than the listing models.