Fuzzy Rule-Based Prediction of Gold Prices using News Affect

作者：

Highlights：

• Fuzzy rule-based prediction system with a news affect component.

• Highly interpretable trading strategy in terms of rule complexity.

• One- and five-days-ahead gold price predictions.

• Outperforms state-of-the-art models in terms of accuracy and interpretability.

• Outperforms alternative baseline strategies in terms of profit.

摘要

•Fuzzy rule-based prediction system with a news affect component.•Highly interpretable trading strategy in terms of rule complexity.•One- and five-days-ahead gold price predictions.•Outperforms state-of-the-art models in terms of accuracy and interpretability.•Outperforms alternative baseline strategies in terms of profit.

论文关键词：Gold price,Prediction,Fuzzy rule-based system,News,Sentiment

论文评审过程：Received 16 August 2021, Revised 20 October 2021, Accepted 30 December 2021, Available online 7 January 2022, Version of Record 10 January 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.116487