Fuzzy uncertainty analysis in the investment processes

Abstract

The analyses of the investment processes, especially the possibility of monitoring and forecasting the intense return fluctuations, demands usage of an appropriate framework, which adequately evaluates the dynamic nature of those processes. In the recessive business conditions, volatility and extreme stock market movements presents a challenge while evaluation of the investment processes. Thus, the stock market prices volatility and the possibility of stock market forecasting in an uncertain environment are in the focus of the research. Fuzzy sets allow usage of approximated values of the ambiguous data, that is, the intraday stock market prices data. The sample comprises stocks of Alfa plam a.d. Vranje (ALFA), Komercijalna banka a.d. Beograd (KMBN) and Metalac a.d. Gornji Milanovac (MTLC), that are traded at the regulated market of the Belgrade Stock Exchange. The main goal of the research is to present an overview and performance test of the fuzzy sets as a part of soft computing (SC) technology in the investment processes. The research results indicate the necessity of the fuzzy sets application in the forecasting of stock market prices, i.e. its approximate values. © 2012 IEEE.