STOCK MARKET DECISION MAKING MACHINE Pr Dál, Krl R Abr: Th rl dl wh h buld up f h k mrk d mkg mh h mprv prd ury. I u fudml, pyhlgl d hl ly ghr wh mul d hr mhd. Th hl ly r rprd by h rgr d h ly, prd by m f dym mdl, fuzzy lg, url wrk, g lgrhm d hybrd mdl. I u h ly fr h f rdm f m r. Th dgd mhdlgy ud fr h prg f h d b h frm f buy d l gl f h hr pr, urry r d mmd h wrld mrk. Th udy md whr h vlu f pu prd. Kywrd: k mrk, d mkg, fudml ly, pyhlgl ly, hl ly, mdl, PC prgrm 1. INTRODUCTION Th rl dl wh f h m mpld prd rprd by k mrk. Th m mpl, prd h rgh mm f buy, ll r hld f h dx, hr, mmdy r urry b h prf. Th m pr f h k d wh h prd f m r. Th bhvur f k mrk flud by m, pll, pyhlgl, l d hr phm. Sk mrk h bk fdbk,. Th h f why h prd h k mrk r dfful. Th rd h mrk mu b uful mr h 50 pr r h prf. Th mr pr yu r uful h br. Th rl drb h buld up f mdl ug mbd prd fr h brkrg hu. 2. THEORY Th m fx b h fuur dvlpm f pr f hr, urry r d mmd durg h pr h wrld mrk. Th rul frm fudml, pyhlgl, hl ly d hr mhd b ppld fr h purp. Th ppl f f mpug prd ghr wh h dvlpm f kwldg h brh f mhml ly. Th f mpug lud h fdg frm h hry f fuzzy lg, url wrk d g lgrhm. Th mhd bl br drp f lr pr h r pr bu my d f. O f h pbl mhdlg f m r ly d prd drbd h rl. Th mbd prd lud fudml ly, pyhlgl ly, rgr ly, h ly, dym mdl, fuzzy lg mdl, url wrk mdl, g lgrhm mdl, hybrd ym, mul d hr mhd. Th mdl prd h fllwg fgur d h drp fllw: A) A gr dl f frm b rvd frm pr, rd, lv d Ir,.g.: w frm frm, hr pl, mgm, m frm uh (EPS, P/E, ROE), fuur rg pl, dvdd, m, db, rur, m m, bl h, rg d fl mm d. A wll h vlu dlg wh h hry f d f pr mgh b bd wh vru mplg,.. b m r. Th m r b prd by m f mhm ly wh hr dvg d ddvg (Dál (2002)). B) D mg m h lf, mplg, rg, lg, upplm d rfrm f d. D mg lud vrf d mpl vlu (Dvd l. (2002) d Rud (2001)). C) Th frm b prd by fudml ly. E.g. h Dlph mhd bl u vlu h kwldg f ly d bd h l f flu ld h d mkg pr wh hr dvg d ddvg (Dál (2002)). D) A h pu ly h mhd f drmg whhr h m r drm, frl r rdm uld b ud. Hvg prvd h h m r purly rdm, hr rh wh h m drm h fuur dvlpm f pr rrlv. W b dppd wh h rul f rr ly. Hur xp d, whhr h m r rmlly drbud, h lg mmry, whhr h m r 1
rd pr (pr) r rvrg (rfrg) m r. Th frl dm b ud fr h purp,. Ohr pbly u h Lypuv xp, whh drm h rg f prdbly f m r. If h m r rdm d h gd prdbly h ubl u hr ly (Dál l. (2001), (Dál (2002), Gup l. (1999), Pr (1994) d Trpp (1995)). E) O u h ly by m f Ell wv, whh ppl h kwldg f pyhlgl ly. I pbl drm h fuur dy f fuur pr frm h yp f wv (Dál (2001) d Fr (2000)). F) I pbl udy h m r by m f rgr ly, dym mdl, fuzzy lg, url wrk, g lgrhm, h ly, hybrd mdl, wvl ly r Klm flr ((Allv l. (2002), Alr (1995), Azf (1994), Bx l. (1976), Dál (1998), Dál (1999), Dál (2000), Dál l. (2001), Dál (2002), Gly (1995), Gup l. (1999), Klr l. (1995), Klm (2002), Ošmr (2002), Gup l. (1999), Pr (1994), Rbr l (1999), Sbr l (2001), Trpp (1995) d Zdh (1994)). G) I pbl ly m r p mrl wy. W d rgr ly d lul f dx whh x hug umbr vr p d. (E.g.: Bllgr Bd, Sh Ollr, O Bl Vlum.). W mul buyg d llg gl h p rdr b vw f h bhvur f h pr dpdg m d m h pbl fuur dvlpm f h pr (Dál (2002) d (Rbr l (1999)). H) I pbl mk lul f prd f m r by m f h dym mdl rprd by m f l d l ARIMA (Aurgrv Igrd Mvg Avrg) mdl d by vru yp f mh mdl (Allv l. (2002), Bx l. (1976), Dál (1998), Dál (1999), Dál (2002) d Rbr l (1999)). I) Ahr pbl lul h f rd df f prd f m r by m f fuzzy lg. Th rd prd f m r luld h b f fuzzy rul. Th pr f fuzzf, fuzzy fr d dfuzzf r ud (Allv l. (2002), Alr (1995), Dál (2002), Klr l. (1995), Rbr l (1999) d Zdh (1994)). J) Yu mk lul f prd f m r by m f url wrk. Th gmd d hyprbl g m b h b fr prd (Allv l. (2002), Azf (1994), Dál (1999), Dál (2000), Dál (2002), Gly (1995) d Rbr l (1999)). K) Ahr pbl lul h f h rd df f prd f m r by m f g lgrhm. Th rd prd luld h b f lgl rul wh h mxmum prf bg rhd by m f pmlz. Th vru lgrhm b ud fr prd f m r, fr xmpl prlll vlury (Dál (2002) d Ošmr (2002)). L) Th h ly rpr h lul d vlu f Hur d Lypuv xp md D. Th TAR (Thrhld Aurgrv) mdl d ARFIMA (Aurgrv Frl Igrd Mvg Avrg) mdl b md h (Dál l. (2001), Dál (2002), Gup l. (1999) d Trpp (1995)). M) Th hybrd ym b rd by h mb f fuzzy lg, url wrk, g lgrhm d h hry f h. Thr b vru mb whr h url fuzzy- g h h m mpld (Allv l. (2002) d Rbr l (1999)). N) I pbl ly m r p mrl wy by wvl ly. W u fr dmp f m r h wvl fu rdg Dubh. Th fuur vlu b md by m f Klm flr (Dál (2002), Klm (2002) d Sbr l (2001)). O) Th mul h pr h drb h bhvur f h lyd ym (k mrk) by m f dffrl qu. Th k mrk fl ym whh b drbd ym wh pv d gv fdbk. Th pv (gv) fdbk mplf h r (dr) f pr (Brví (2002) d Dál (2003)). P) Ohr upu b bd h uv prd r x ly b md. E.g. h flu f h u d ph f h m pr f hr (Dál (2002)). 2
3 A B C Fudml Aly Dlph mhd,. Q R S D E Pyhlgl Aly Ell wv, bubbl,. F I G Rgr Aly Mvg vrg,. f T D r m H Dym Mdl GARCH, ARFIMA mdl,. h C I Fuzzy Lg D h l E v - J Nurl Nwrk M l b u A k u M T l K G Algrhm g D y g L Ch Aly TAR mdl,. P r M Hybrd Sym FL, ANN, GA, Ch,. N Ohr Wvl ly,. O Smul Dffrl qu P Ohr Iu,.
Q) Th d mkg pr vry mpld. A hr b v rdry upu frm h ly, ubl pply h fuzzy lg fr hr vlu. R) I ry vlu d mpr h rul f prd wh h ul vlu p mrl wy. Th quly f prd mdl b vlud, fr xmpl by m f MAPE (m blu prg rrr). I h wy pbl hg h wgh f dvdul ly. Th d mkg pr dym whr h uu d l vlu bm h y (Dál (2002)). S) Th buyg d llg gl b rld vru wy.g. by m f -bu v Ir r hr wy (Brd l. (1999)). 3. BUILD UP MODEL Th d mkg pr h b md by m f fuzzy lg fllwg mr. Th upu f fudml ly dmr h lvl f w, bl h d m d uh EPS, P/E d ROE: h b, br, gd, url, bd, wr, h wr. Th upu f pyhlgl ly r h prpv rd rd by h bhvur f rwd h k mrk: url, hgh, mdum, lw r r dr. Th upu f h hl ly r prd h frm f vgu drp frm rgr ly, dym mdl, fuzzy lg, url wrk, g lgrhm d h ly. Th r-dly, dly, wkly d mhly prd d judgm f pr, dx d hr rd dvlpm rpr vlu: url, hgh, mdum, lw r r dr. Th upu f mul d hr mhd d h prpv rd f m r: url, hgh, mdum, lw r r dr. Th fllwg fgur pr h hm f fuzzy lg d mkg pr, whr h ymbl f dvdul ly C,E,G,H,I,J,K,L,M,A,O,P r ud fr pu d Q fr upu. Fgur: Th hm f fuzzy lg d mkg pr All h pu f fuzzy lg (upu rul frm ll ly) r prd by fuzzy rul. Th fuzzy rul r h frm: If A h B. Th vlu f prd rrr frm vru ly h b ud fr g h wgh ludd fuzzy rul. Th ly wh mr (l) ur prd hv hghr (lwr) wgh h d mkg pr ((Alr (1995), Dál (2000), Dál (2002) d Ošmr (2002). 4
4. CASE STUDY Th prl rl f d mkg mh prd h fllwg fgur. Fgur: Th dply f d mkg mh Th prjd d mkg mh wrk fllwg mr. Th upu f h gl ly d prd r rfrrd h fllwg rbu: Hgh Pv, Mddl Pv, Lw Pv, Nurl, Lw Ngv, Mddl Ngv d Hgh Ngv. Th upu f h hl ly r prd h frm f vgu drp frm rgr d h ly, prd f rd by m f dym mdl, fuzzy lg mdl, url wrk d g lgrhm. Th r-dly, dly, wkly d mhly prd f vlu f dx, pr f hr, mmd d urry r rpr hr rd dvlpm. Th upu f pyhlgl ly r h prpv rd rd by h bhvur f rwd h k mrk. Th upu f fudml ly dmr h lvl f w, bl h d m d uh EPS, P/E d ROE. Th upu f hr ly lud furhr ly h r md hr ludg u d h ld d f h prpv rd f m r. All h pu f fuzzy lg (upu rul frm ll ly) r rprd by rbu d hr mmbrhp fu. Th fuzzy rul r flud by h dgr f uppr. Th vlu f prd rrr frm vru ly r ud fr h g f dgr f uppr. Th ly wh mr (l) ur prd hv hghr (lwr) wgh h d mkg pr. Th fuzzy - url ym b ud whr h hp f mmbrhp fu f pu d upu d dgr f uppr up by h pr f lrg f url wrk h ludd fuzzy ym. Th upu f fuzzy rul prdud h frm f l rg frm -100% +100% (frm mmd buy mmd ll) r v fv rbu (rg): rg buy, buy, hld, ll, rg ll. I ur udy h d mkg mh uggd ll h hr f Mrf mpy. I vlud wh 25% h l. 5
CONCLUSIONS Th m f h rrh prj h mhdlgy fx b h fuur dvlpm f pr f hr, urry r r mmd durg pr h wrld mrk. Th d mkg mh rh fruful rul. Th ddvg h h mdl mpld d uu vlu d ug mu b d. Th rr ly d vlu gv h rr wr hw wrk wh h pr f hr, mmd r urry r. Th mhdlgy bl mprv h ury f d mkg pr durg h pr h wrld k mrk. Th prd f fl m r d bhvur f k mrk dfful h qu f ubl u h mhdlgy. LITERATURE [1] ALLIEV,A. ALIEV,R. Sf Cmpug d I Appl. USA: Wrld Sf Publhg C, 2002. 444p. ISBN 981-02-4700-1. [2] ALTROC,A. Fuzzy Lg & Nurfuzzy Appl Bu & F. USA: Pr Hll PTR, 1995. 375 p. ISBN 0-13-368465-2. [3] AZOF,M.E. Nurl Nwrk Tm Sr Frg f Fl Mrk. UK: Jh Wly & S Ld., 1994. 212 p. ISBN 0471943568. [4] BAIRD,B. MBURNEZ,C. Elr Dy Trdg W. UK: Jh Wly & S Ld., 1999. 221 p. ISBN 0-471-35072-9. [5] BARVÍ,M. Dvlpm f Mdl f Eml d Elgl Sym. CR Zlí: CP&HS 02. Cfr. 2002. 6 p. ISBN 80-7318-074-X. [6] BOX,G.E.P. JENKINS,G.M. Tm Sr Aly-Frg d Crl. USA: Hld Dy, S Fr, 1976. 575 p. ISBN 0-8162-1104-3. [7] DAVID,H.-MANNILA,H.-SMYTH,P. Prpl f D Mg (Adpv Cmpu d Mh Lrg). USA: MIT Pr, 2001. 425 p. ISBN 026208290X. [8] DOSTÁL,P. Sm Kwldg f Prd Mhd. CR Zlí: Nrdmu 98, Cfr, 1998. 5 p. ISBN 80-214-1222-4. [9] DOSTÁL,P. Nurl Nwrk r ARIMA Mdl?. CR Zlí: Nrdmu 99, Cfr, 1999. 4 p. ISBN 80-214-1424-3. [10] DOSTÁL,P. Nurl Nwrk d Sk Mrk. CR Zlí: Nrdmu 99, Cfr, 1999. 6 p. ISBN 80-214-1424-3. [11] DOSTÁL,P. Nurl Nwrk d h Shr. CR Zlí: Nrdmu 00, Cfr, 2000. 6 p. ISBN 80-214-1668-8. [12] DOSTÁL,P. Nurl Nwrk, D Mkg d Sk Mrk. Prugu Lb: Irl Sympum Frg 00, Cfr, 2000. 6p. [13] DOSTÁL,P. Sk Mrk d Fl Cybr. CR-Zlí: Nrdmu 01, Cfr, 2001. 7 p. ISBN 80-7318-030-8. [14] DOSTÁL,P.-ZMEŠKAL,O. Ch d Sk Mrk. CR Zlí: Nrdmu 01, Cfr, 2001. 8 p. ISBN 80-7318-030-8. [15] DOSTÁL,P. G d Shr. CR-Br: Smll d Mdum Frm Mgm wh Cmpur Suppr, Cfr, 2002. 6 p. ISBN 80-86510-56-5. [16] DOSTÁL,P. Mdr Mhd f Em Aly Fl Cybr. CR Zlí: Adm Crum, FME UTB, 2002. 110 p. ISBN 80-7318-075-8. (I Czh). [17] DOSTÁL,P. Smul f Prdu d Fl Sym. CR Br: Smll d Mdum Frm Mgm wh Cmpur Suppr, 2003. 6 p. ISBN 80-214-2518-0. [18] DOSTÁL P. Advd Em Aly, CERM - Br 2008, 80p., ISBN 978-80-214-3564-3. [19] DOSTÁL, P., SOJKA, Z. Fl Rk mgm, TBU - Zlí 2008, 80p., ISBN 978-80-7318-772- 9. [20] DOSTÁL, P. Pkrlé mdy lýz mdlváí v pdklví vjé práv, (Th Advd Mhd f Aly d Smul Bu d Publ Srv Czh), CERM, Br, 2008,432, ISBN 978-80-7204-605-8 [21] FROST,A.J.- PRETCHER,R. Ell Wv Prpl. USA: Nw Cl Lbrry,2000. 245 p. 0-932750-43-5. [22] GATELY,E. Nurl Nwrk fr Fl Frg. UK: Jh Wly & S Ld., 1995. 190 p. ISBN 0471112127. 6
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