Building a type-2 fuzzy random support vector regrebion scheme in quantitative investment

Yicheng Wei, Junzo Watada

    Research output: Contribution to journalArticle

    Abstract

    Financial markets are connected well these days. One clab abets' price performance is usually affected by movements of other clabes of abets. However, the relationship between them is hard to trace and predict along with increase in complexity of markets' behaviors these days. Nothing like stock market, money or bond market is an over-the-counter market, where abets' prices are often presented in the form of clabes of discrete quotations by trader's subjective judgments, thus are hard to model and analyze. Given concern to this, we define the Type 2 fuzzy random variable (T2 fuzzy random variable) to quantify those bid/offer behaviors in this paper. Moreover, we build a T2 fuzzy random support vector regrebion (T2-FSVR)scheme to study relationships between these markets, thus form an effective trading strategy to predict the trend of market prices. We use matlab platform to implement and test the effectiveneb of the new model, then train and test it with 2014 whole years price data of bond and money markets. We also compare T2-FSVRs prediction accuracy with type-2 fuzzy expected regrebion(T2-FER) and confidence-interval-based fuzzy random regrebion model(CI-FRRM). The result shows that T2-FSVR outperforms and has 98% accuracy while CI-FRRM has 81% accuracy and T2-FER has only 70% accuracy. Moreover,T2-FSVR can be developed into a automated trading strategy for practical busineb use, which is able to learn behaviors of different markets based on mab of available historical and real time data and earn profit automatically.

    Original languageEnglish
    Pages (from-to)564-575
    Number of pages12
    JournalIEEJ Transactions on Electronics, Information and Systems
    Volume136
    Issue number4
    DOIs
    Publication statusPublished - 2016

    Keywords

    • Creditability theory
    • Financial market
    • Quantitative investment
    • Support vector regrebion model
    • Type-2 fuzzy random variable
    • Type-reduction

    ASJC Scopus subject areas

    • Electrical and Electronic Engineering

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