A multiattribute financial time series forecast model based on double hierarchy fuzzy linguistic term set

Based on the double hierarchy linguistic term sets (DHLTS), a novel forecasting model is proposed considering both the internal fluctuation rules and the external correlation of different time series. The innovative aspects of this model consist of: (i) It can expresses more internal fluctuation and external correlation information, providing guarantees for improving the predictive performance of the model. (ii) The equivalent transformation function of DHLTS reduces the fuzzy granularity and improves the prediction accuracy. (iii) The application of similarity measures can extract the closest rules from historical states based on the distance operators of DHLTS. In addition, experiments on TAIEX considering the impact of the U.S. stock market and other data show that the model has good predictive performance.