Designing an Early Warning System for Stock Market Crashes Based On Adaptive Neuro Fuzzy Inference System Forecasting

机译：基于自适应神经模糊推理的股市崩盘预警系统设计。

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In this paper, we focus on building a financial early warning system (EWS) to predict stock market crashes by using stock market volatility and rising stock prices. The relation of stock market volatility with stock market crashes is analyzed empirically in this study. Also, Istanbul Stock Exchange (ISE) National 100 Index data will be used to achieve a better results from the point of modeling purpose. A stock market crash risk indicator is computed to predict crashes and to give an early warning signal. Besides, adaptive neuro fuzzy inference system (ANFIS) will be used as a training tool for EWS. The empirical results show that the proposed adaptive neuro fuzzy model is successful thanks to the ANFIS that includes both artificial neural network learning ability and the fuzzy logic inference mechanism.

机译：在本文中，我们专注于建立金融预警系统（EWS），以利用股市波动和股价上涨来预测股市崩盘。本研究通过实证分析了股票市场波动与股票市场崩溃的关系。此外，从建模目的出发，还将使用伊斯坦布尔证券交易所（ISE）的100号国家指数数据来获得更好的结果。计算股票市场崩溃风险指标可以预测崩溃并给出预警信号。此外，自适应神经模糊推理系统（ANFIS）将用作EWS的培训工具。实验结果表明，所提出的自适应神经模糊模型是成功的，这要归功于具有人工神经网络学习能力和模糊逻辑推理机制的ANFIS。

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来源
《The 2nd International Conference on Risk Analysis and Crisis Response(第二届风险分析与危机反应国际学术研讨会)》|2009年|79-85|共7页
会议地点 Beijing(CN);Beijing(CN)
作者
Murat Acar; Adem Karahoca;
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作者单位

Software Engineering Department, Bahcesehir University, Turkey;

Software Engineering Department, Bahcesehir University, Turkey;

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原文格式 PDF
正文语种 eng
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关键词
Stock market crash; Economic crisis; Early warning system; Adaptive neuro fuzzy inference system; Data mining classifier;

机译：股市崩盘；经济危机；预警系统自适应神经模糊推理系统数据挖掘分类器;

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4. Designing an Early Warning System for Stock Market Crashes Based On Adaptive Neuro Fuzzy Inference System Forecasting [C] . International conference on risk analysis and crisis response . 2009

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Designing an Early Warning System for Stock Market Crashes Based On Adaptive Neuro Fuzzy Inference System Forecasting

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