Heesoo Hwang and Jinsung Oh
International Journal of Control, Automation, and Systems, vol. 8, no. 3, pp.702-706, 2010

Abstract : Predicting stock prices with traditional time series analysis has proven to be difficult. Fuzzy models have recently been used to predict stock market prices because they are capable of extracting useful information from large sets of data without any assumption about a mathematical model. In this paper, three types of fuzzy rule formats to predict daily and weekly stock price indexes were presented. Their premises and consequences were composed of trapezoidal membership functions and novel nonlinear equations, respectively. As the most effective indicators for stock prediction, the information used in traditional candle stick-chart analysis was newly employed as input variables of our fuzzy models. The optimal fuzzy models were identified through an evolutionary process of differential evo-lution (DE). The different types of fuzzy models to predict the daily and weekly open, high, low, and close prices of the Korea Composite Stock Price Index (KOSPI) were built, and their performances were compared.

Keyword : Differential evolution, fuzzy model, stock prediction, time series prediction.