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Modelling and Performance Evaluation of Stock Prices by Using Transfer Function Modelling and Fuzzy Logic

Mona Mustafa El Biely

Abstract


This research utilized transfer function modelling technique to model close price based on open price, high price and low price. The paper presents the basis of modeling multi-input-single output transfer function (MISO). Moreover, the usage of fuzzy logic to combine the evidence of the three variables to produce one crisp precise value that embodies the importance of each input. Multi-Input-Single-Output transfer function model is (b1, s1, r1) (b2, s2, r2) (b3, s3, r3) (pn, qn) = (1,0,0) (0,0,1) (0,1,2) (0,2) that shows that the close price on a certain day is affected by open price, high price and low price on the same day. The result of close price forecasting using multi-input-single-output model is accurate based on the result of RMSE statistics that 40.3 (0.27 %). The evaluation of the performance using fuzzy logic are revealed that the period 5-2010 to 6-2013 has a performance rating of 0.5, while the period 7-2013 to 12-2017 has a performance rating of 0.68.

Keywords


Transfer Function, Fuzzy Logic, Performance Rate.

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