Intuitionistic Fuzzy Set-Based Computational Method for Financial Time Series Forecasting

ABSTRACT Intuitionistic fuzzy sets (IFSs) have been proved to be more ideal than fuzzy sets to handle non-probabilistic uncertainty and non-determinism in the system. The present study proposes an IFS-based computational method to address the issue of non-determinism in financial time series forecasting. The proposed IFS-based forecasting method uses a simple computational algorithm to forecast without using complex computations using intuitionistic fuzzy logical relations. In order to see suitability of the proposed method in financial forecasting, it is implemented on three experimental data of the SBI share price, TAIEX and Dow Jones Industrial Average (DJIA). Root mean square error and statistical test are used in the study to confirm the out performance of the proposed IFS-based computational method of forecasting. Experimental results show that the proposed method outperforms various existing methods for forecasting SBI, TAIEX and DJIA.