Consolidation of Time Series Models for the Prediction of XUTEK Index and Technology Stocks in Istanbul Stock Exchange (BIST) during Pandemic Period

Background: Intuitionistic fuzzy time series forecasting methods have been started to solve the forecasting problems in the literature. Intuitionistic fuzzy time series methods use both membership and non-membership values as auxiliary variables in their models. Because intuitionistic fuzzy sets take into consideration the hesitation margin and so the intuitionistic fuzzy time series models use more information than fuzzy time series models. The background of this study is about intuitionistic fuzzy time series forecasting methods. Objective: The study aims to propose a novel intuitionistic fuzzy time series method. It is expected that the proposed method will produce better forecasts than some selected benchmarks. Method: The proposed method uses bootstrapped combined Pi-Sigma artificial neural network and intuitionistic fuzzy c-means. The combined Pi-Sigma artificial neural network is proposed to model the intuitionistic fuzzy relations. Results and Conclusion: The proposed method is applied to different sets of SP&500 stock exchange time series. The proposed method can provide more accurate forecasts than established benchmarks for the SP&500 stock exchange time series. The most important contribution of the proposed method is that it creates statistical inference: probabilistic forecasting, confidence intervals and the empirical distribution of the forecasts. Moreover, the proposed method is better than the selected benchmarks for the SP&500 data set.

Download Full-text

High-Order Fuzzy Time Series Model Based on Generalized Fuzzy Logical Relationship

Mathematical Problems in Engineering ◽

10.1155/2013/927394 ◽

2013 ◽

Vol 2013 ◽

pp. 1-11 ◽

Cited By ~ 3

Author(s):

Wangren Qiu ◽

Xiaodong Liu ◽

Hailin Li

Keyword(s):

Time Series ◽

Stock Exchange ◽

Composite Index ◽

High Order ◽

Fuzzy Time Series ◽

Time Series Models ◽

Logical Relationship ◽

Proposed Model ◽

The University ◽

Fuzzy Logical

In view of techniques for constructing high-order fuzzy time series models, there are three methods which are based on advanced algorithms, computational methods, and grouping the fuzzy logical relationships, respectively. The last kind model has been widely applied and researched for the reason that it is easy to be understood by the decision makers. To improve the fuzzy time series forecasting model, this paper presents a novel high-order fuzzy time series models denoted asGTS(M,N)on the basis of generalized fuzzy logical relationships. Firstly, the paper introduces some concepts of the generalized fuzzy logical relationship and an operation for combining the generalized relationships. Then, the proposed model is implemented in forecasting enrollments of the University of Alabama. As an example of in-depth research, the proposed approach is also applied to forecast the close price of Shanghai Stock Exchange Composite Index. Finally, the effects of the number of orders and hierarchies of fuzzy logical relationships on the forecasting results are discussed.

Download Full-text

Fuzzy Time Series Forecasting Model Based on Automatic Clustering Techniques and Generalized Fuzzy Logical Relationship

Mathematical Problems in Engineering ◽

10.1155/2015/962597 ◽

2015 ◽

Vol 2015 ◽

pp. 1-8 ◽

Cited By ~ 2

Author(s):

Wangren Qiu ◽

Ping Zhang ◽

Yanhong Wang

Keyword(s):

Time Series ◽

Stock Exchange ◽

Composite Index ◽

High Order ◽

Computational Method ◽

Fuzzy Time Series ◽

Time Series Models ◽

Logical Relationship ◽

Automatic Clustering ◽

Fuzzy Logical

In view of techniques for constructing high-order fuzzy time series models, there are three types which are based on advanced algorithms, computational method, and grouping the fuzzy logical relationships. The last type of models is easy to be understood by the decision maker who does not know anything about fuzzy set theory or advanced algorithms. To deal with forecasting problems, this paper presented novel high-order fuzz time series models denoted as GTS(M, N)based on generalized fuzzy logical relationships and automatic clustering. This paper issued the concept of generalized fuzzy logical relationship and an operation for combining the generalized relationships. Then, the procedure of the proposed model was implemented on forecasting enrollment data at the University of Alabama. To show the considerable outperforming results, the proposed approach was also applied to forecasting the Shanghai Stock Exchange Composite Index. Finally, the effects of parametersMandN, the number of order, and concerned principal fuzzy logical relationships, on the forecasting results were also discussed.

Download Full-text

Time-Series Models in Marketing: Some Recent Developments

Marketing ZFP ◽

10.15358/0344-1369-2010-jrm-1-24 ◽

2010 ◽

Vol 32 (JRM 1) ◽

pp. 24-29

Author(s):

Marnik G. Dekimpe ◽

Dominique M. Hanssens

Keyword(s):

Time Series ◽

Time Series Models ◽

Recent Developments

Download Full-text

A COMPARATIVE STUDY BETWEEN UNIVARIATE AND BIVARIATE TIME SERIES MODELS FOR CRUDE PALM OIL INDUSTRY IN PENINSULAR MALAYSIA

MALAYSIAN JOURNAL OF COMPUTING ◽

10.24191/mjoc.v5i1.6760 ◽

2020 ◽

Vol 5 (1) ◽

pp. 374

Author(s):

Pauline Jin Wee Mah ◽

Nur Nadhirah Nanyan

Keyword(s):

Time Series ◽

Palm Oil ◽

Moving Average ◽

Forecast Accuracy ◽

Peninsular Malaysia ◽

Time Series Models ◽

Crude Palm Oil ◽

Univariate Time Series ◽

Import And Export ◽

Bivariate Time Series

The main purpose of this study is to compare the performances of univariate and bivariate models on four time series variables of the crude palm oil industry in Peninsular Malaysia. The monthly data for the four variables, which are the crude palm oil production, price, import and export, were obtained from Malaysian Palm Oil Board (MPOB) and Malaysian Palm Oil Council (MPOC). In the first part of this study, univariate time series models, namely, the autoregressive integrated moving average (ARIMA), fractionally integrated autoregressive moving average (ARFIMA) and autoregressive autoregressive (ARAR) algorithm were used for modelling and forecasting purposes. Subsequently, the dependence between any two of the four variables were checked using the residuals’ sample cross correlation functions before modelling the bivariate time series. In order to model the bivariate time series and make prediction, the transfer function models were used. The forecast accuracy criteria used to evaluate the performances of the models were the mean absolute error (MAE), root mean square error (RMSE) and mean absolute percentage error (MAPE). The results of the univariate time series showed that the best model for predicting the production was ARIMA while the ARAR algorithm were the best forecast models for predicting both the import and export of crude palm oil. However, ARIMA appeared to be the best forecast model for price based on the MAE and MAPE values while ARFIMA emerged the best model based on the RMSE value. When considering bivariate time series models, the production was dependent on import while the export was dependent on either price or import. The results showed that the bivariate models had better performance compared to the univariate models for production and export of crude palm oil based on the forecast accuracy criteria used.

Download Full-text