R. R. C. Silva, W. M. Caminhas, P. C. L. Silva, F. G. Guimarães, "A C4.5 Fuzzy Decision Tree Method for
Multivariate Time Series Forecasting", 2021 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE), 2021, pp. 1-6.
Abstract:
In the present work we extend the traditional C4.5
decision tree method for regression and forecasting of multivariate
time series. In the proposed method, time series data is first
fuzzified leading to a fuzzy time series (FTS) representation of the data. A fuzzy decision tree (FDT) based on C4.5 is employed to form the knowledge base of the FTS model. The method can deal with high-order and multivariate fuzzy time series, offering an explainable model. The FDT-FTS method is tested with data from IBOVESPA stock market index, which tracks the performance of around 50 most liquid stocks traded on the São Paulo Stock Exchange in Brazil. The method is applied to the IBOVESPA mini future contract time series in order to forecast future values using a mix of historical values and technical analysis indicators. This method is compared with Support Vector Regression (SVR) and Random Forest Regression (RFR), both methods implemented in the Scikit-Learn open-source library. The FDT-FTS model was implemented in Python programming language in the open source pyFTS library. Although all three methods have similar performance, according to the MAPE, SMAPE, RMSE, NRMSE and MAE metrics, the proposed method is computationally faster and explainable.
Index Terms: Fuzzy Decision Tree, C4.5 Tree, Multivariate
Time Series, Fuzzy Time Series, Fuzzy Logic, IBOVESPA stock
market index.
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