Stock Market Prediction with Multiple Regression, Fuzzy Type-2 Clustering and Neural Networks

Stock market forecasting research offers many challenges and opportunities, with the forecasting of individual stocks or indexes focusing on forecasting either the level (value) of future market prices, or the direction of market price movement. A three-stage stock market prediction system is introduced in this article. In the first phase, Multiple Regression Analysis is applied to define the economic and financial variables which have a strong relationship with the output. In the second phase, Differential Evolution-based type-2 Fuzzy Clustering is implemented to create a prediction model. For the third phase, a Fuzzy type-2 Neural Network is used to perform the reasoning for future stock price prediction. The results of the network simulation show that the suggested model outperforms traditional models for forecasting stock market prices. © 2011 Published by Elsevier B.V.