论文标题
实施尼日利亚证券交易所的基于2型模糊逻辑的预测系统
Implementation of a Type-2 Fuzzy Logic Based Prediction System for the Nigerian Stock Exchange
论文作者
论文摘要
股市很容易被视为投资者最有吸引力的地方之一,但在做出交易决策方面也非常复杂。由于市场的不确定性和非线性性质,预测市场是一项冒险的冒险。决定合适的交易时间对于每个成功的交易者来说都是关键,因为它可以带来巨大的收益或完全将投资损失记录为粗心的交易。这项研究的目的是使用模糊的逻辑类型2开发一个针对股票市场的预测系统,该系统将处理这些不确定性和人类行为的复杂性,总体而言,在购买,持有或出售股票交易决策时。提出的系统是使用VB.NET编程语言作为Frontend和Microsoft SQL Server作为后端开发的。总共选择了四个不同的技术指标进行这项研究。选定的指标是相对强度指数,William平均值,移动平均收敛性和差异以及随机振荡器。这些指标是模糊系统的输入变量。将MACD和SO部署为主要指标,而RSI和WA则用作辅助指标。采用了斐波那契回答率,以确定其在做出交易决策方面确定其支持和抵抗水平。使用三角形和高斯成员功能,将模糊系统的输入变量模糊为低,中和高。 Mamdani类型的模糊推理规则用于将每个输入变量的交易规则结合到模糊系统。使用从尼日利亚证券交易所上市的十个不同公司收集的样本数据进行了测试,总共五十二个时期。收集的数据集是每个安全性的开放,高,低和收盘价。
Stock Market can be easily seen as one of the most attractive places for investors, but it is also very complex in terms of making trading decisions. Predicting the market is a risky venture because of the uncertainties and nonlinear nature of the market. Deciding on the right time to trade is key to every successful trader as it can lead to either a huge gain of money or totally a loss in investment that will be recorded as a careless trade. The aim of this research is to develop a prediction system for stock market using Fuzzy Logic Type2 which will handle these uncertainties and complexities of human behaviour in general when it comes to buy, hold or sell decision making in stock trading. The proposed system was developed using VB.NET programming language as frontend and Microsoft SQL Server as backend. A total of four different technical indicators were selected for this research. The selected indicators are the Relative Strength Index, William Average, Moving Average Convergence and Divergence, and Stochastic Oscillator. These indicators serve as input variable to the Fuzzy System. The MACD and SO are deployed as primary indicators, while the RSI and WA are used as secondary indicators. Fibonacci retracement ratio was adopted for the secondary indicators to determine their support and resistance level in terms of making trading decisions. The input variables to the Fuzzy System is fuzzified to Low, Medium, and High using the Triangular and Gaussian Membership Function. The Mamdani Type Fuzzy Inference rules were used for combining the trading rules for each input variable to the fuzzy system. The developed system was tested using sample data collected from ten different companies listed on the Nigerian Stock Exchange for a total of fifty two periods. The dataset collected are Opening, High, Low, and Closing prices of each security.