An Adaptive Network-Based Fuzzy Inference System (ANFIS) for the prediction of stock market return: The case of the Istanbul Stock Exchange
作者: Melek Acar BoyaciogluDerya Avci
作者单位: 1Selcuk University, Faculty of Economics and Administrative Sciences, Department of Business Administration, Campus, 42031 Konya, Turkey
2Firat University, Faculty of Technical Education, Department of Electronic and Computer Education, 23119 Elazig, Turkey
刊名: Expert Systems With Applications, 2010, Vol.37 (12), pp.7908-7912
来源数据库: Elsevier Journal
DOI: 10.1016/j.eswa.2010.04.045
关键词: Adaptive Network-Based Fuzzy Inference System (ANFIS)PredictionStock market returnIstanbul Stock Exchange (ISE)
英文摘要: Abstract(#br)Stock market prediction is important and of great interest because successful prediction of stock prices may promise attractive benefits. These tasks are highly complicated and very difficult. In this paper, we investigate the predictability of stock market return with Adaptive Network-Based Fuzzy Inference System (ANFIS). The objective of this study is to determine whether an ANFIS algorithm is capable of accurately predicting stock market return. We attempt to model and predict the return on stock price index of the Istanbul Stock Exchange (ISE) with ANFIS. We use six macroeconomic variables and three indices as input variables. The experimental results reveal that the model successfully forecasts the monthly return of ISE National 100 Index with an accuracy rate of 98.3%....
全文获取路径: Elsevier  (合作)
影响因子:1.854 (2012)