A Conditional Fuzzy Inference Approach in Forecasting

European Journal of Operational Research, Forthcoming

Posted: 25 Mar 2017 Last revised: 22 Sep 2020

See all articles by Arman Hassanniakalager

Arman Hassanniakalager

University of Bath - School of Management

Georgios Sermpinis

University of Glasgow

Charalampos Stasinakis

University of Glasgow

Thanos Verousis

University of Essex

Date Written: November 01, 2019

Abstract

This study introduces a Conditional Fuzzy inference (CF) approach in forecasting. The proposed approach is able to deduct Fuzzy Rules (FRs) conditional on a set of restrictions. This conditional rule selection discards weak rules and the generated forecasts are based only on the most powerful ones. Through this process, it is capable of achieving higher forecasting performance and improving the interpretability of the underlying system. The CF concept is applied in a series of forecasting exercises on stocks and football games datasets. Its performance is benchmarked against a Relevance Vector Machine (RVM), an Adaptive Neuro-Fuzzy Inference System (ANFIS), an Ordered Probit (OP), a Multilayer Perceptron Neural Network (MLP), a k-Nearest Neighbour (k-NN), a Decision Tree (DT) and a Support Vector Machine (SVM) model. The results demonstrate that the CF is providing higher statistical accuracy than its benchmarks.

Keywords: Forecasting; Conditional Fuzzy Inference; Fuzzy Rules; Classification

JEL Classification: C44, C53, C61

Suggested Citation

Hassanniakalager, Arman and Sermpinis, Georgios and Stasinakis, Charalampos and Verousis, Thanos, A Conditional Fuzzy Inference Approach in Forecasting (November 01, 2019). European Journal of Operational Research, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2938560 or http://dx.doi.org/10.2139/ssrn.2938560

Arman Hassanniakalager

University of Bath - School of Management ( email )

Claverton Down
Bath, BA2 7AY
United Kingdom
+44(0)1225386170 (Phone)

HOME PAGE: http://researchportal.bath.ac.uk/en/persons/arman-hassanniakalager

Georgios Sermpinis (Contact Author)

University of Glasgow ( email )

Adam Smith Business School
Glasgow, Scotland G12 8LE
United Kingdom

Charalampos Stasinakis

University of Glasgow ( email )

University Avenue
Adam Smith Business School
Glasgow, Scotland G128QQ
United Kingdom

Thanos Verousis

University of Essex ( email )

Wivenhoe Park
Colchester, CO4 3SQ
United Kingdom

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
1,124
PlumX Metrics