A New Fuzzy Time-Series Based on Two Factors to Predict Taiex

In stock markets, many factors such as financial reports, market news and technical analysis indicators are considered to influence stock price. In this paper, we propose a new fuzzy time-series model employing two factors (stock price and a technical analysis indicator of trading volume) to forecast stock index. In this paper, we employ actual trading data of Taiwan stock index (TAIEX) as experimental dataset and two multiple-factor fuzzy time-series models, Chen´s (2000) and Huarng´s (2005), as comparison models. The experimental results indicate that our model outperforms the listing models.