Application of OFN Notation in the Fuzzy Observation of WIG20 Index Trend for the Period 2008–2016
| Autor: | Hubert Zarzycki, Wojciech T. Dobrosielski, Janusz Szczepanski, Jacek M. Czerniak |
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| Rok vydání: | 2017 |
| Předmět: |
Sequence
Frame (networking) 02 engineering and technology Notation 01 natural sciences Fuzzy logic 010305 fluids & plasmas Set (abstract data type) Similarity (network science) 0103 physical sciences Statistics Pattern recognition (psychology) 0202 electrical engineering electronic engineering information engineering Fuzzy number 020201 artificial intelligence & image processing Mathematics |
| Zdroj: | Uncertainty and Imprecision in Decision Making and Decision Support: Cross-Fertilization, New Models and Applications ISBN: 9783319655444 |
| DOI: | 10.1007/978-3-319-65545-1_18 |
| Popis: | The article concerns the issue of seeking patterns in trends. In the study a method to detect patterns in trends recorded in a linguistic has been proposed. Linguistic variables take their values as a result of the calculations in Ordered Fuzzy Numbers notation. Thus, in a first stage fuzzyfication of the source data occurs. Transposition of the parameters was applied to daily quotations (min, max, the opening value, the closing value and the direction of change) which were interpreted as a single OFN number. This is the first usage of this notation to describe the stock index which allows to describe five different parameters in a single number. Then the data are converted into linguistic form. The level of trend sequence similarity is determined by following set parameters: the Frame size of the pattern, expressed as a percentage similarity of trend sequence to a frame set at the outset, threshold indicating how many trend fragments is consistent with the frame and the frequency of the pattern occurrences. Patterns detected in this way in the nature of things are characterized by various support, and coefficients of similarity in both the whole pattern and the individual elements. For the purposes of this study, we developed a dedicated computer program performing patterns search. As research material the main index of the Warsaw Stock Exchange, i.e. WIG20 from the years 2008–2016 was used as a data set. This preliminary study is beginning to develop Rule base forecasting methods, and in this direction further experiments will be carried out. |
| Databáze: | OpenAIRE |
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