A Novel Ensemble Neuro-Fuzzy Model for Financial Time Series Forecasting

Abstract

Neuro-fuzzy models have a proven record of successful application in finance. Forecasting future values is a crucial element of successful decision making in trading. In this paper, a novel ensemble neuro-fuzzy model is proposed to overcome limitations and improve the previously successfully applied a five-layer multidimensional Gaussian neuro-fuzzy model and its learning. The proposed solution allows skipping the error-prone hyperparameters selection process and shows better accuracy results in real life financial data.

Keywords

• time series
• neuro-fuzzy
• ensemble
• model averaging
• Gaussian
• prediction
• stochastic gradient descent