Un modelo transformacional para la Predicción del índice bursátil S&P 500 utilizando redes neurodifusas y algoritmos genéticos

Diego Javier-Quispe; Geraldine Valdez-Yana; José Vargas-Huamán; José Sulla-Torres

doi:10.18687/LACCEI2017.1.1.233

Un modelo transformacional para la Predicción del índice bursátil S&P 500 utilizando redes neurodifusas y algoritmos genéticos

Diego Javier-Quispe, Geraldine Valdez-Yana, José Vargas-Huamán, José Sulla-Torres

Universidad Nacional de San Agustín

Producción científica: Capítulo del libro/informe/acta de congreso › Contribución a la conferencia › revisión exhaustiva

Resumen

The objective of this paper is the elaboration of a transformational model to forecasting the diary variance of S&P 500 by using genetic algorithms and fuzzy neural networks. The model consists of two phases, the first is the elaboration of fuzzy functions and rules through TSK-IRL-R in KEEL, and the second is the training of fuzzy neural network by using ANFIS in MATLAB. The data set was composed the diary variances from Yahoo Finance. It was obtained 7.5843 of training error.

Título traducido de la contribución	A transformational model for the prediction of the S&P 500 stock index using fuzzy neural networks and genetic algorithms
Idioma original	Español
Título de la publicación alojada	15th LACCEI International Multi-Conference for Engineering, Education Caribbean Conference for Engineering and Technology
Subtítulo de la publicación alojada	Global Partnership for Development and Engineering Education, LACCEI 2017
Editores	Maria M. Larrondo Petrie, Humberto Alvarez
Editorial	Latin American and Caribbean Consortium of Engineering Institutions
ISBN (versión digital)	9780999344309
DOI	https://doi.org/10.18687/LACCEI2017.1.1.233
Estado	Publicada - 2017
Publicado de forma externa	Sí
Evento	15th LACCEI International Multi-Conference for Engineering, Education Caribbean Conference for Engineering and Technology, LACCEI 2017 - Boca Raton, Estados Unidos Duración: 19 jul. 2017 → 21 jul. 2017

Serie de la publicación

Nombre	Proceedings of the LACCEI international Multi-conference for Engineering, Education and Technology
Volumen	2017-July
ISSN (versión digital)	2414-6390

Conferencia

Conferencia	15th LACCEI International Multi-Conference for Engineering, Education Caribbean Conference for Engineering and Technology, LACCEI 2017
País/Territorio	Estados Unidos
Ciudad	Boca Raton
Período	19/07/17 → 21/07/17

Palabras clave

Fuzzy neural networks
Genetic algorithms
Prediction
S&P 500
Transformational model

Acceder al documento

10.18687/LACCEI2017.1.1.233

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Enlace a la publicación en Scopus

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Javier-Quispe, D., Valdez-Yana, G., Vargas-Huamán, J., & Sulla-Torres, J. (2017). Un modelo transformacional para la Predicción del índice bursátil S&P 500 utilizando redes neurodifusas y algoritmos genéticos. En M. M. L. Petrie, & H. Alvarez (Eds.), 15th LACCEI International Multi-Conference for Engineering, Education Caribbean Conference for Engineering and Technology: Global Partnership for Development and Engineering Education, LACCEI 2017 (Proceedings of the LACCEI international Multi-conference for Engineering, Education and Technology; Vol. 2017-July). Latin American and Caribbean Consortium of Engineering Institutions. https://doi.org/10.18687/LACCEI2017.1.1.233

Javier-Quispe, Diego ; Valdez-Yana, Geraldine ; Vargas-Huamán, José et al. / Un modelo transformacional para la Predicción del índice bursátil S&P 500 utilizando redes neurodifusas y algoritmos genéticos. 15th LACCEI International Multi-Conference for Engineering, Education Caribbean Conference for Engineering and Technology: Global Partnership for Development and Engineering Education, LACCEI 2017. editor / Maria M. Larrondo Petrie ; Humberto Alvarez. Latin American and Caribbean Consortium of Engineering Institutions, 2017. (Proceedings of the LACCEI international Multi-conference for Engineering, Education and Technology).

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title = "Un modelo transformacional para la Predicci{\'o}n del {\'i}ndice burs{\'a}til S&P 500 utilizando redes neurodifusas y algoritmos gen{\'e}ticos",

abstract = "The objective of this paper is the elaboration of a transformational model to forecasting the diary variance of S&P 500 by using genetic algorithms and fuzzy neural networks. The model consists of two phases, the first is the elaboration of fuzzy functions and rules through TSK-IRL-R in KEEL, and the second is the training of fuzzy neural network by using ANFIS in MATLAB. The data set was composed the diary variances from Yahoo Finance. It was obtained 7.5843 of training error.",

keywords = "Fuzzy neural networks, Genetic algorithms, Prediction, S&P 500, Transformational model",

author = "Diego Javier-Quispe and Geraldine Valdez-Yana and Jos{\'e} Vargas-Huam{\'a}n and Jos{\'e} Sulla-Torres",

note = "Publisher Copyright: {\textcopyright} 2017 Latin American and Caribbean Consortium of Engineering Institutions. All rights reserved.; 15th LACCEI International Multi-Conference for Engineering, Education Caribbean Conference for Engineering and Technology, LACCEI 2017 ; Conference date: 19-07-2017 Through 21-07-2017",

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Javier-Quispe, D, Valdez-Yana, G, Vargas-Huamán, J & Sulla-Torres, J 2017, Un modelo transformacional para la Predicción del índice bursátil S&P 500 utilizando redes neurodifusas y algoritmos genéticos. En MML Petrie & H Alvarez (eds.), 15th LACCEI International Multi-Conference for Engineering, Education Caribbean Conference for Engineering and Technology: Global Partnership for Development and Engineering Education, LACCEI 2017. Proceedings of the LACCEI international Multi-conference for Engineering, Education and Technology, vol. 2017-July, Latin American and Caribbean Consortium of Engineering Institutions, 15th LACCEI International Multi-Conference for Engineering, Education Caribbean Conference for Engineering and Technology, LACCEI 2017, Boca Raton, Estados Unidos, 19/07/17. https://doi.org/10.18687/LACCEI2017.1.1.233

Un modelo transformacional para la Predicción del índice bursátil S&P 500 utilizando redes neurodifusas y algoritmos genéticos. / Javier-Quispe, Diego; Valdez-Yana, Geraldine; Vargas-Huamán, José et al.
15th LACCEI International Multi-Conference for Engineering, Education Caribbean Conference for Engineering and Technology: Global Partnership for Development and Engineering Education, LACCEI 2017. ed. / Maria M. Larrondo Petrie; Humberto Alvarez. Latin American and Caribbean Consortium of Engineering Institutions, 2017. (Proceedings of the LACCEI international Multi-conference for Engineering, Education and Technology; Vol. 2017-July).

Producción científica: Capítulo del libro/informe/acta de congreso › Contribución a la conferencia › revisión exhaustiva

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T1 - Un modelo transformacional para la Predicción del índice bursátil S&P 500 utilizando redes neurodifusas y algoritmos genéticos

AU - Javier-Quispe, Diego

AU - Valdez-Yana, Geraldine

AU - Vargas-Huamán, José

AU - Sulla-Torres, José

PY - 2017

Y1 - 2017

N2 - The objective of this paper is the elaboration of a transformational model to forecasting the diary variance of S&P 500 by using genetic algorithms and fuzzy neural networks. The model consists of two phases, the first is the elaboration of fuzzy functions and rules through TSK-IRL-R in KEEL, and the second is the training of fuzzy neural network by using ANFIS in MATLAB. The data set was composed the diary variances from Yahoo Finance. It was obtained 7.5843 of training error.

AB - The objective of this paper is the elaboration of a transformational model to forecasting the diary variance of S&P 500 by using genetic algorithms and fuzzy neural networks. The model consists of two phases, the first is the elaboration of fuzzy functions and rules through TSK-IRL-R in KEEL, and the second is the training of fuzzy neural network by using ANFIS in MATLAB. The data set was composed the diary variances from Yahoo Finance. It was obtained 7.5843 of training error.

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KW - Genetic algorithms

KW - Prediction

KW - S&P 500

KW - Transformational model

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A2 - Petrie, Maria M. Larrondo

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Javier-Quispe D, Valdez-Yana G, Vargas-Huamán J, Sulla-Torres J. Un modelo transformacional para la Predicción del índice bursátil S&P 500 utilizando redes neurodifusas y algoritmos genéticos. En Petrie MML, Alvarez H, editores, 15th LACCEI International Multi-Conference for Engineering, Education Caribbean Conference for Engineering and Technology: Global Partnership for Development and Engineering Education, LACCEI 2017. Latin American and Caribbean Consortium of Engineering Institutions. 2017. (Proceedings of the LACCEI international Multi-conference for Engineering, Education and Technology). doi: 10.18687/LACCEI2017.1.1.233

Un modelo transformacional para la Predicción del índice bursátil S&P 500 utilizando redes neurodifusas y algoritmos genéticos

Resumen

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