A Two Phase Algorithm for Fuzzy Time Series Forecasting using Genetic Algorithm and Particle Swarm Optimization Techniques

Abstract

ABSTRACT Fuzzy Time series is being used for forecasting since last two decades for forecasting. Nature inspired computing techniques like other domains are now being used for optimization purpose in Fuzzy Time Series forecasting models to get improved results. In this paper we have presented a new algorithm for multivariate fuzzy time series forecasting having two phases. Genetic Algorithm and Particle Swarm Optimization techniques are used in this algorithm for optimization. We applied our algorithm on Taiwan forex Exchange (TAIFEX) index and got better results and minimized error rate as compared to previous methods. General Terms Nature inspired computing; Time Series forecasting Keywords Fuzzy time series; two-factor high-order fuzzy logical relationships; Genetic Algorithm, Particle Swarm Optimization; TAIFEX index. 1. INTRODUCTION Forecasting is prediction of unseen values of some sequence. It holds significance in economic and financial modeling as entrepreneurs use predicted values for business planning and taking key decisions. In the last two decades Fuzzy Time Series (FTS) is being used for forecasting purpose. Song and Chissom [1, 2] used the concept of FTS and forecasted number of enrollments of the University of Alabama. Many other researchers proposed their models for enrollments forecasting of the University of Alabama ([3], [4], [5], [6], [7], [8], [9], [10] and [11]), temperature prediction [12, 13] and car road accidents [14, 15] using fuzzy time series. Huarng [7] presented heuristic based model for fuzzy time series forecasting. Jilani and Burney [14] presented M-factor high order fuzzy time series forecasting model for car road accident data. Jilani and Burney [16] presented new heuristic based approach for frequency density based partitioning for fuzzy time series forecasting of stock market. In the recent years many researchers started applying Nature inspired computation (NIC) techniques for optimization purpose in FTS forecasting. Kuo et al. [17] and Huang et al.[18] proposed Particle Swarm Optimization (PSO) based FTS forecasting models for enrollments data of the University of Alabama. Park et al. [19] proposed a forecasting model for TAIFEX and KOSPI-200 index, which was based on FTS and swarm intelligence. Jilani et. al. [20] proposed a PSO based FTS forecasting model for car road accidents. Jilani et. al. presented a hybrid algorithm based on Genetic Algorithm (GA) and PSO for forecasting TAIFEX Genes are randomly generated initially to make chromosomes and KSE-100 index. Jilani et. al. [22] presented a trend based heuristic approach using GA for forecasting car road accidents. In this paper we have applied genetic algorithm in first phase to optimize weights, and in second phase we used those weights and optimized interval length to get best forecasting result.