Application of Multi-Input Hamacher-ANFIS Ensemble Model on Stock Price Forecast

The stock market is a complex, evolving, and nonlinear dynamic system. Forecasting stock prices has been regarded as one of the most challenging applications of modern time series forecasting. This paper proposes a novel multi-input Hamacher-ANFIS (adaptive network-based fuzzy inference system based on Hamacher operator) ensemble model to forecast stock prices in China’s stock market and achieve good prediction performance. We selected five stocks with the largest total market capitalization from the Shanghai and Shenzhen Stock Exchanges, measured their historical volatility over the same time period, and weighed the performance of each stock forecasting model based on the above volatility. Then, the experiment was repeated 100 times for each data set, and we calculated the comprehensive [Formula: see text] of the testing set according to the weight that we obtained earlier. The statistical test of the experimental results shows that: (1) In terms of comprehensive [Formula: see text] of the stock price, the multi-input Hamacher-ANFIS model is superior to other conventional models; (2) when compared with the nonensemble forecasting strategy, the ensemble strategy of the Hamacher-ANFIS model has significant advantages.