Financial markets analysis by probabilistic fuzzy modelling

J. Berg, van den, U. Kaymak, W.M. Bergh, van den

Research output: Book/ReportReportAcademic

2 Downloads (Pure)


For successful trading in financial markets, it is important to develop financial models where one can identify different states of the market for modifying one???s actions. In this paper, we propose to use probabilistic fuzzy systems for this purpose. We concentrate on Takagi???Sugeno (TS) probabilistic fuzzy systems that combine interpretability of fuzzy systems with the statistical properties of probabilistic systems. We start by recapitulating the general architecture of TS probabilistic fuzzy rule-based systems and summarize the corresponding reasoning schemes. We mention how probabilities can be estimated from a given data set and how a probability distribution can be approximated by a fuzzy histogram. We apply our methodology for financial time series analysis and demonstrate how a probabilistic TS fuzzy system can be identified, assuming that a linguistic term set is given. We illustrate the interpretability of such a system by inspecting the rule bases of our models.
Original languageEnglish
Place of PublicationRotterdam
PublisherErasmus Universiteit Rotterdam
Number of pages20
Publication statusPublished - 2003

Publication series

NameERIM Report Series Research in Management


Dive into the research topics of 'Financial markets analysis by probabilistic fuzzy modelling'. Together they form a unique fingerprint.

Cite this