Universiti Teknologi Malaysia Institutional Repository

Data modeling for Kuala Lumpur composite index with ANFIS

Mohd Yunos, Zuriahati and Shamsuddin, Siti Mariyam and Sallehuddin, Roselina (2008) Data modeling for Kuala Lumpur composite index with ANFIS. In: Proceedings - 2nd Asia International Conference on Modelling and Simulation, AMS 2008. IEEE, New York, pp. 609-614. ISBN 978-076953136-6

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Official URL: http://dx.doi.org/10.1109/AMS.2008.56

Abstract

Stock market transaction is one of the most popular investments activities. There are many conventional techniques being used and these include technical and fundamental analysis. Recently, AI such as ANN, GA, FL and RS are widely used by the researchers due to their ability to predict the behavior of the stock market efficiently. In this research, a comprehensive preprocessing data modeling of stock market is developed to acquire granular information that represents the behavior of the data that is to be fed to the classifier. The pre-process methodology includes splitting, scaling, normalization, feature selection, and follows by the TenFold Cross Validation method as a benchmark for estimating the predictive accuracy and effectiveness of splitting and selecting the input data. Daily data of KLCI is captured and analyzed, and it is found that the movements of the Indices are unstable; hence the forecasting process becomes difficult. A Hybrid Neurofuzzy with ANFIS is suggested to predict the behavior of the Indices. Four technical indicators are chosen to analyze the data. To verify the effectiveness of the ANFIS model, two experimental have been carried out and the results show that ANFIS method is competent in forecasting the KLCI fabulously compared to ANN.

Item Type:Book Section
Additional Information:ISBN: 978-076953136-6; 2nd Asia International Conference on Modelling and Simulation, AMS 2008; Kuala Lumpur; 13 May 2008 through 15 May 2008
Uncontrolled Keywords:ANFIS, ANN, forecasting, hybrid, neurofuzzy, technical analysis
Subjects:Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Divisions:Computer Science and Information System (Formerly known)
ID Code:12523
Deposited By: Liza Porijo
Deposited On:07 Jun 2011 10:11
Last Modified:07 Jun 2011 10:11

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