Improving stock index forecasts by using a new weighted fuzzy-trend time series method

作者：

Highlights：

• Define a new technical indicator for measuring the trend of the fuzzy time series.

• Introduce a new weighted fuzzy-trend time series method to forecast stock indices.

• Compare ex-post performances of weighted FTS methods using stock market indices.

• Assess statistical significance of ex-post forecast accuracy for weighted FTS methods.

摘要

•Define a new technical indicator for measuring the trend of the fuzzy time series.•Introduce a new weighted fuzzy-trend time series method to forecast stock indices.•Compare ex-post performances of weighted FTS methods using stock market indices.•Assess statistical significance of ex-post forecast accuracy for weighted FTS methods.

论文关键词：Fuzzy time series,Forecasting,Trend analysis,Stock market indices,Fuzzy numbers

论文评审过程：Received 22 April 2016, Revised 15 July 2016, Accepted 26 January 2017, Available online 27 January 2017, Version of Record 5 February 2017.

论文官网地址：https://doi.org/10.1016/j.eswa.2017.01.049