Skip to main content
Springer Nature Link
Log in

Portfolio Investment Decision Support System Based on a Fuzzy Inference System

  • Conference paper
Computational Intelligence (IJCCI 2010)

Part of the book series: Studies in Computational Intelligence ((SCI,volume 399))

Included in the following conference series:

  • 891 Accesses

Abstract

This paper describes a hybrid intelligent system formed by a decision support system based on rules for the management of a stock portfolio and by a fuzzy inference system to select the stocks to be incorporated.

This system simulates the behavior of any rational investor, so that each day would look if there is any investment opportunity with the use of technical indicators applying a fuzzy logic based approach.

The system has been tested in 3 time periods (1 year, 3 years and 5 years), simulating the purchase/sale of stocks in the Spanish continuous market and the results have been compared with the revaluations obtained by the best investment funds operating in Spain.

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Log in via an institution

Subscribe and save

Springer+ Basic
$34.99 /Month
  • Get 10 units per month
  • Download Article/Chapter or eBook
  • 1 Unit = 1 Article or 1 Chapter
  • Cancel anytime
Subscribe now

Buy Now

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Similar content being viewed by others

References

  1. Albanis, G., Batchelor, R.: Combining heterogenous classifiers for stock selection. International Journal of Intelligent Systems in Accounting and Finance Management 15(1-2), 1–21 (2007)

    Google Scholar 

  2. Amenc, N., Sourd, V.L.: Portfolio Theory and Performance Analysis. Wiley Finance (2003)

    Google Scholar 

  3. Atsalakis, G., Valavanis, K.: Forecasting stock market short-term trends using a neuro-fuzzy based methodology. Expert Systems with Applications 36(7), 10696–10707 (2009)

    Article  Google Scholar 

  4. BME - Bolsas y Mercados Españoles: Normalidad de las series financieras (2009), http://www.bolsasymercados.es

  5. Cheung, W., Kaymak, U.: A fuzzy logic based trading system. In: 3rd European Symposium on Nature-inspired Smart Information Systems. Nisis (2007)

    Google Scholar 

  6. Dourra, H., Siy, P.: Investment using technical analysis and fuzzy logic. Fuzzy Sets and Systems 127(2), 221–240 (2002)

    Article  MathSciNet  MATH  Google Scholar 

  7. Drake, A., Marks, R.: Genetic Algorithms in Economics and Finance: Forecasting Stock Market Prices and Foreign Exchange - A Review. Genetic algorithms and genetic programming in computational finance. Kluwer (2002)

    Google Scholar 

  8. INVERCO - Asociación de Instituciones de Inversión Colectiva y Fondos de Pensiones: Ranking Fondos Inversión a (December 31, 2009), http://www.inverco.es

  9. Kendall, G., Su, Y.: A particle swarm optimisation approach in the construction of optimal risky portfolios. In: 23rd IASTED International Multi-conference Artificial Intelligence and Applications, pp. 140–145 (2005)

    Google Scholar 

  10. Kosko, B.: Neural network and Fuzzy systems. In: A Dynamical Systems Approach to Machine Intelligence. Prentice Hall Press (1992)

    Google Scholar 

  11. León, T., Vercher, V.L., Viability, E.: Viability of infeasible portfolio selection problems: A fuzzy approach. European Journal of Operational Research 139(1), 178–189 (2002)

    Article  MATH  Google Scholar 

  12. Malkiel, B.: A Random Walk Down Wall Street. W. W. Norton & Company (1973)

    Google Scholar 

  13. Markowitz, H.: Portfolio selection. Journal of Finance 7(1), 77–91 (1952)

    Google Scholar 

  14. Mittermayer, M.: Forecasting intraday stock price trends with text mining techniques. In: 37th Annual Hawaii International Conference on System Sciences, pp. 140–145. IEEE Xplore (2004)

    Google Scholar 

  15. Murphy, J.: Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications. Prentice Hall Press (1999)

    Google Scholar 

  16. Shen, L., Loh, H.T.: Applying rough sets to market timing decisions. Decision Support Systems 37(4), 583–597 (2004)

    Article  Google Scholar 

  17. Sun, H., Liu, L.: A linear output structure for fuzzy logic controllers. Fuzzy Sets and Systems 131(2), 265–270 (2002)

    Article  MathSciNet  MATH  Google Scholar 

  18. Tseng, C.-C., Gmytrasiewicz, P.J.: Real time decision support system for portfolio management. In: 35th Annual Hawaii International Conference on System Sciences, vol. 3, p. 79. IEEE Computer Society (2002)

    Google Scholar 

  19. Zargham, M., Sayeh, M.: A web-based information system for stock selection and evaluation. In: Proc. International Conference on Advance Issues of E-Commerce and Web-Based Information Systems, pp. 81–83. IEEE Computer Society (1999)

    Google Scholar 

  20. Zekic, M.: Neural network applications in stock market - a methodology analysis. In: Proc. 9th International Conference on Information and Intelligent Systems, pp. 255–263 (1998)

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Informatics and Systems, University of Murcia, Campus de Espinardo, 30100, Murcia, Spain

    Isidoro J. Casanova

Authors
  1. Isidoro J. Casanova
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Isidoro J. Casanova .

Editor information

Editors and Affiliations

  1. , Images, Signals and Intelligence, University Paris-Est Creteil (UPEC), LISSI EA 3956, Paris, 77127, France

    Kurosh Madani

  2. , Departamento de Engenharia Informatica, University of Coimbra, Polo II - Pinhal de Marrocos, Coimbra, 3030, Portugal

    António Dourado Correia

  3. Systems and Robotics Institute, Evolutionary Systems and Biomedical, Instituto Superior Tecnico IST, Av. Rovisco Pais, Lisboa, 1049-001, Portugal

    Agostinho Rosa

  4. INSTICC, Polytechnic Institute of Setúbal, Setubal, 2910-595, Portugal

    Joaquim Filipe

Rights and permissions

Reprints and permissions

Copyright information

© 2012 Springer-Verlag GmbH Berlin Heidelberg

About this paper

Cite this paper

Casanova, I.J. (2012). Portfolio Investment Decision Support System Based on a Fuzzy Inference System. In: Madani, K., Dourado Correia, A., Rosa, A., Filipe, J. (eds) Computational Intelligence. IJCCI 2010. Studies in Computational Intelligence, vol 399. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-27534-0_12

Download citation

  • DOI: https://doi.org/10.1007/978-3-642-27534-0_12

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-27533-3

  • Online ISBN: 978-3-642-27534-0

  • eBook Packages: EngineeringEngineering (R0)

Publish with us

Policies and ethics