Publication detail

Type-2 Fuzzy Expert System Approach for Decision-Making of Financial Assets and Investing under Different Uncertainty

JANKOVÁ, Z. DOSTÁL, P.

Original Title

Type-2 Fuzzy Expert System Approach for Decision-Making of Financial Assets and Investing under Different Uncertainty

Type

journal article in Web of Science

Language

English

Original Abstract

Extensive research results of stock market time series using classical fuzzy sets (type-1) are available in the literature. However, type-1 fuzzy sets cannot fully capture the uncertainty associated with stock market developments due to their limited descriptiveness. This paper fills a scientific gap and focuses on type-2 fuzzy logic applied to stock markets. Type-2 fuzzy sets may include additional uncertainty resulting from unclear, uncertain, or inaccurate financial data through which model inputs are calculated. Here we propose four methods based on type-2 fuzzy logic, which differ in the level of uncertainty contained in fuzzy sets and compared with the type-1 fuzzy model. The case study aims to create a model to support investment decisions in Exchange-Traded Funds (ETFs) listed on international equity markets. The created models of type-2 fuzzy logic are compared with the classic type-1 fuzzy logic model. Based on the results of the comparison, it can be said that type-2 fuzzy logic with dual fuzzy sets is able to better describe data from financial time series and provides more accurate outputs. The results reflect the capability and effectiveness of the approach proposed in this document. However, the performance of type-2 fuzzy logic models decreases with the inclusion of increasing uncertainty in fuzzy sets. For further research, it would be appropriate to examine the different levels of uncertainty in the input parameters themselves and monitor the performance of such a modified model.

Keywords

expert system; fuzzy logic; investment; IT2FL; type-2 fuzzy logic

Authors

JANKOVÁ, Z.; DOSTÁL, P.

Released

18. 6. 2021

Publisher

Hindawi

Location

Spojené státy americké

ISBN

1024-123X

Periodical

MATHEMATICAL PROBLEMS IN ENGINEERING

Year of study

2021

Number

1

State

United States of America

Pages from

1

Pages to

16

Pages count

16

URL

https://www.hindawi.com/journals/mpe/2021/3839071/

Full text in the Digital Library

http://hdl.handle.net/11012/200866

BibTex

@article{BUT171860,
  author="Zuzana {Janková} and Petr {Dostál}",
  title="Type-2 Fuzzy Expert System Approach for Decision-Making of Financial Assets and Investing under Different Uncertainty",
  journal="MATHEMATICAL PROBLEMS IN ENGINEERING",
  year="2021",
  volume="2021",
  number="1",
  pages="1--16",
  doi="10.1155/2021/3839071",
  issn="1024-123X",
  url="https://www.hindawi.com/journals/mpe/2021/3839071/"
}