Publication detail

Investment Decision Support Based on Interval Type-2 Fuzzy Expert System

JANKOVÁ, Z. JANA, D. DOSTÁL, P.

Original Title

Investment Decision Support Based on Interval Type-2 Fuzzy Expert System

Type

journal article in Web of Science

Language

English

Original Abstract

The decision-making process on investing in financial markets is a very complex and difficult task, mainly due to the chaotic behavior and high uncertainty in the development of the prices of investment instruments. For this reason, financial markets are increasingly using means of artificial intelligence, namely fuzzy logic, which is able to capture the nonlinear behavior.Fuzzy logic provides a way to draw definitive conclusions from vague, ambiguous, or inaccurate information.However, there are some drawbacks associated with type-1 fuzzy logic, so the type-2 fuzzy logic comes forward, which can work with greater uncertainty. Type-2 fuzzy logic works with a new third dimension fuzzy set that provides additional degrees of freedom and allows to model and process numerical and linguistic uncertainties directly. The paper applies type-2 fuzzy logic to the stock market with the aim to create a simple and understandable model for deciding on investing in investment instruments, which is important for investors in this area. The proposed type-2 fuzzy model uses return, risk, dividend and total expense ratio of ETF as input variables. The created system is able to generate aggregated models from a certain number of language rules, which allows the investor to understand the created financial model. Using type-2 fuzzy logic can lead to more realistic and accurate results than type-1 fuzzy logic.

Keywords

fuzzy logic; interval type-2 fuzzy logic; investment analysis; soft computing; T2FLS

Authors

JANKOVÁ, Z.; JANA, D.; DOSTÁL, P.

Released

29. 4. 2021

Publisher

Kaunas University of Technology

Location

Kaunas, Lithuania

ISBN

1392-2785

Periodical

Engineering Economics

Year of study

32

Number

2

State

Republic of Lithuania

Pages from

118

Pages to

129

Pages count

12

URL

https://inzeko.ktu.lt/index.php/EE/article/view/24884

Full text in the Digital Library

http://hdl.handle.net/11012/200977

BibTex

@article{BUT171432,
  author="Zuzana {Janková} and Dipak Kumar {Jana} and Petr {Dostál}",
  title="Investment Decision Support Based on Interval Type-2 Fuzzy Expert System",
  journal="Engineering Economics",
  year="2021",
  volume="32",
  number="2",
  pages="118--129",
  doi="10.5755/j01.ee.32.2.24884",
  issn="1392-2785",
  url="https://inzeko.ktu.lt/index.php/EE/article/view/24884"
}