Improve Interval Optimization of FLR using Auto-speed Acceleration Algorithm

Inflation is a benchmark of a country's economic development. Inflation is very influential on various things, so forecasting inflation to know on upcoming inflation will impact positively. There are various methods used to perform forecasting, one of which is the fuzzy time series forecasting with maximum results. Fuzzy logical relationships (FLR) model is a very good in doing forecasting. However, there are some parameters that the value needs to be optimised. Interval is a parameter which is highly influence toward forecasting result. The utilizing optimization with hybrid automatic clustering and particle swarm optimization (ACPSO). Automatic clustering can do interval formation with just the right amount. While the PSO can optimise the value of each interval and it is providing maximum results. This study proposes the improvement in find the solution using auto-speed acceleration algorithm. Auto-speed acceleration algorithm can find a global solution which is hard to reach by the PSO and time of computation is faster. The results of the acquired solutions can provide the right interval so that the value of the FLR can perform forecasting with maximum results

Forecasting Long-Term Government Bond Yields: An Application of Statistical and AI Models

This paper evaluates several artificial intelligence and classical algorithms on their ability of forecasting the monthly yield of the US 10-year Treasury bonds from a set of four economic indicators. Due to the complexity of the prediction problem, the task represents a challenging test for the algorithms under evaluation. At the same time, the study is of particular significance for the important and paradigmatic role played by the US market in the world economy. Four data-driven artificial intelligence approaches are considered, namely, a manually built fuzzy logic model, a machine learned fuzzy logic model, a self-organising map model and a multi-layer perceptron model. Their performance is compared with the performance of two classical approaches, namely, a statistical ARIMA model and an econometric error correction model. The algorithms are evaluated on a complete series of end-month US 10-year Treasury bonds yields and economic indicators from 1986:1 to 2004:12. In terms of prediction accuracy and reliability of the modelling procedure, the best results are obtained by the three parametric regression algorithms, namely the econometric, the statistical and the multi-layer perceptron model. Due to the sparseness of the learning data samples, the manual and the automatic fuzzy logic approaches fail to follow with adequate precision the range of variations of the US 10-year Treasury bonds. For similar reasons, the self-organising map model gives an unsatisfactory performance. Analysis of the results indicates that the econometric model has a slight edge over the statistical and the multi-layer perceptron models. This suggests that pure data-driven induction may not fully capture the complicated mechanisms ruling the changes in interest rates. Overall, the prediction accuracy of the best models is only marginally better than the prediction accuracy of a basic one-step lag predictor. This result highlights the difficulty of the modelling task and, in general, the difficulty of building reliable predictors for financial markets.interest rates; forecasting; neural networks; fuzzy logic.

Neutrosophic soft sets forecasting model for multi-attribute time series

Traditional time series forecasting models mainly assume a clear and definite functional relationship between historical values and current/future values of a dataset. In this paper, we extended current model by generating multi-attribute forecasting rules based on consideration of combining multiple related variables. In this model, neutrosophic soft sets (NSSs) are employed to represent historical statues of several closely related attributes in stock market such as volumes, stock market index and daily amplitudes

A refined approach for forecasting based on neutrosophic time series

This research introduces a neutrosophic forecasting approach based on neutrosophic time series (NTS). Historical data can be transformed into neutrosophic time series data to determine their truth, indeterminacy and falsity functions. The basis for the neutrosophication process is the score and accuracy functions of historical data. In addition, neutrosophic logical relationship groups (NLRGs) are determined and a deneutrosophication method for NTS is presented. The objective of this research is to suggest an idea of first-and high-order NTS. By comparing our approach with other approaches, we conclude that the suggested approach of forecasting gets better results compared to the other existing approaches of fuzzy, intuitionistic fuzzy, and neutrosophic time series

APPLICATION OF FUZZY TIME SERIES WITH FIBONACCI RETRACEMENT FOR FORECASTING STOCK PRICE PT. BANK RAKYAT INDONESIA

Stock can be defined as securities that indicate the ownership of a person or legal entity to the company issuing the shares. Good stocks for long-term investment are stocks that have good fundamentals and large market capitalization. The purpose of investing is to make a profit. In investing in stocks, investors need to know the risk management that can affect the ups and downs of a stock. Forecasting or forecasting is an analysis to predict everything related to the production, supply, demand, and use of technology in an industry or business. One of the forecasting methods is using fuzzy time series. The primary purpose of fuzzy time series is to predict time series data that can widely use on any real-time data, including capital market data. In this study, we will discuss the evolution of the time series model in overcoming fluctuations that often occur in stock prices by using a fuzzy time series that combines a stock analysis approach, namely Fibonacci retracement. The stock data used in this study is the close price of BBRI for October 2021 to March 2022. Forecasting results for 1 April 2022 are IDR 4660.49 with a Mean Absolute Percentage forecasting accuracy value of 1.034%

Triangular Fuzzy Time Series for Two Factors High-order based on Interval Variations

Fuzzy time series (FTS) firstly introduced by Song and Chissom has been developed to forecast such as enrollment data, stock index, air pollution, etc. In forecasting FTS data several authors define universe of discourse using coefficient values with any integer or real number as a substitute. This study focuses on interval variation in order to get better evaluation. Coefficient values analyzed and compared in unequal partition intervals and equal partition intervals with base and triangular fuzzy membership functions applied in two factors high-order. The study implemented in the Shen-hu stock index data. The models evaluated by average forecasting error rate (AFER) and compared with existing methods. AFER value 0.28% for Shen-hu stock index daily data. Based on the result, this research can be used as a reference to determine the better interval and degree membership value in the fuzzy time series.

The cross-association relation based on intervals ratio in fuzzy time series

The fuzzy time series (FTS) is a forecasting model based on linguistic values. This forecasting method was developed in recent years after the existing ones were insufficiently accurate. Furthermore, this research modified the accuracy of existing methods for determining and the partitioning universe of discourse, fuzzy logic relationship (FLR), and variation historical data using intervals ratio, cross association relationship, and rubber production Indonesia data, respectively. The modifed steps start with the intervals ratio to partition the determined universe discourse. Then the triangular fuzzy sets were built, allowing fuzzification. After this, the FLR are built based on the cross association relationship, leading to defuzzification. The average forecasting error rate (AFER) was used to compare the modified results and the existing methods. Additionally, the simulations were conducted using rubber production Indonesia data from 2000-2020. With an AFER result of 4.77%<10%, the modification accuracy has a smaller error than previous methods, indicating  very good forecasting criteria. In addition, the coefficient values of D1 and D2 were automatically obtained from the intervals ratio algorithm. The future works modified the partitioning of the universe of discourse using frequency density to eliminate unused partition intervals