FORECASTING TEHRAN’S BOURSE PRICE INDEX USING RETURN-BASED FUZZY TIME SERIES

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RADMEHR FARID; SHAMS GHARNEH NASER

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Journal: INVESTMENT KNOWLEDGE Year:2013 | Volume:1 | Issue:4 Page(s): 175-193

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Information Journal Paper

Title

FORECASTING TEHRAN’S BOURSE PRICE INDEX USING RETURN-BASED FUZZY TIME SERIES

Author(s)

RADMEHR FARID | SHAMS GHARNEH NASER | Issue Writer Certificate

Keywords

HIGH ORDER FUZZY TIME SERIESQ2

RATE OF RETURNQ2

SIMULATED ANNEALINGQ2

FORECASTINGQ2

Abstract

During the recent years extensive researches have been done on fuzzy time series. In many of these studies, universe of discourse and relevant intervals have been determined based on levels of price or data; in this study a new type of universe of discourse is established based on RATE OF RETURN concept in financial markets.Another point that has a significant effect on the performance of fuzzy time series models is the length of intervals, therefore doing research in this area became an interesting topic for time series researchers, there are some studies on this issue but their results are not good enough. So we propose a novel SIMULATED ANNEALING heuristic algorithm that is used to promote the accuracy of FORECASTING. The experimental results show that proposed model (RBFTS) is more accurate than existing models on FORECASTING Alabama university enrollments data. At the final step, Tehran’s bourse price index (TEPIX) is used as a case study for FORECASTING. The obtained results indicate a good FORECASTING performance on this test problem.

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APA: Copy

RADMEHR, FARID, & SHAMS GHARNEH, NASER. (2013). FORECASTING TEHRAN’S BOURSE PRICE INDEX USING RETURN-BASED FUZZY TIME SERIES. INVESTMENT KNOWLEDGE, 1(4), 175-193. SID. https://sid.ir/paper/188004/en

Vancouver: Copy

RADMEHR FARID, SHAMS GHARNEH NASER. FORECASTING TEHRAN’S BOURSE PRICE INDEX USING RETURN-BASED FUZZY TIME SERIES. INVESTMENT KNOWLEDGE[Internet]. 2013;1(4):175-193. Available from: https://sid.ir/paper/188004/en

IEEE: Copy

FARID RADMEHR, and NASER SHAMS GHARNEH, “FORECASTING TEHRAN’S BOURSE PRICE INDEX USING RETURN-BASED FUZZY TIME SERIES,” INVESTMENT KNOWLEDGE, vol. 1, no. 4, pp. 175–193, 2013, [Online]. Available: https://sid.ir/paper/188004/en

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