WSEAS Transactions on Business and Economics
Print ISSN: 1109-9526, E-ISSN: 2224-2899
Volume 15, 2018
Forecasting Gold Prices Using Membership Function Model as Probability Density Function of Normal Distribution
Authors: , ,
Abstract: In this paper, the new forecasting algorithm for predicting gold prices using concept of fuzzy logic with membership function model as probability density function of normal distribution is proposed and compared to the triangular membership function model and the trapezoidal membership function model. The daily gold prices from January 2015 to May 2018 collected from the London Bullion Market Association are used in this study. The prices are transformed to the rate of return and then the Train : Test percent ratio is used to obtain the training data and the testing data, respectively, and consists of 99:01, 95:05, 90:10, 80:20, 70:30, 60:40, 50:50, 40:50, 30:70, 20:80 and 10:90. The root mean squared error and the mean absolute error are applied to measure the performance of the proposed algorithm and to compare three presented models. The experimental results can conclude that the proposed algorithm can be practical to the gold price forecasting; furthermore, the proposed algorithm with the membership function model as probability density function of normal distribution can better improve itself than other models when it has more training data as well as it can demonstrate better performance than others.
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Keywords: Fuzzy logic, gold price forecasting, probability density function of normal distribution, trapezoidal membership function, triangular membership function
Pages: 340-347
WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 15, 2018, Art. #33