Title :
Forecasting of return of stocks portfolio based in fuzzy c-means algorithm and fuzzy transform
Author :
Aguiar, Renato A.
Author_Institution :
Centro Universitário da FEI
Abstract :
The aim of this paper is to investigate the trend of the return of a portfolio formed randomly or for any specific technique. The approach is made using two techniques fuzzy: fuzzy c-means (FCM) algorithm and the fuzzy transform, where the rules used in the fuzzy transform arise from the application of the FCM algorithm. The results show that the proposed methodology is able to predict the trend of the return of a stock portfolio, as well as the tendency of the market index. Real data of the financial market are used from 2004 until 2007.
Keywords :
economic forecasting; fuzzy set theory; pattern classification; stock markets; transforms; FCM algorithm; financial market; fuzzy c-means algorithm; fuzzy transform; market index; stocks portfolio return forecasting; Biological system modeling; Finance; Market research; Portfolios; Prediction algorithms; Stock markets; Transforms; FCM Algorithm; Financial Ratios; Fuzzy Transform; Overreaction;
Conference_Titel :
Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on
Conference_Location :
New York, NY
Print_ISBN :
978-1-4673-1802-0
Electronic_ISBN :
PENDING
DOI :
10.1109/CIFEr.2012.6327824
