Evolving system techniques applied to economics and financial modeling

• Grant number: 11/13851-3
• Support Opportunities: Scholarships abroad - Research
• Start date: January 10, 2012
• End date: January 09, 2013
• Field of knowledge: Engineering - Electrical Engineering - Industrial Electronics, Electronic Systems and Controls
• Principal Investigator: Rosangela Ballini
• Grantee: Rosangela Ballini
• Host Investigator: Ronald R. Yager
• Host Institution: Instituto de Economia (IE). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
• Institution abroad: Iona College, United States

Abstract

The aim of this project is to develop new contributions in the area of nonlinear systems modeling using fuzzy systems. The emphasis is on the development of a class of algorithms and analysis techniques for adaptive modeling. More specifically, the purpose is to develop new evolving systems modeling and analysis techniques. Evolving systems are of utmost importance because they provide mechanisms for simultaneous structural and parametric learning. The project also aims to apply the developed approaches to economics and financial modeling.The aim of this project is to develop new contributions in the area of nonlinear systems modeling using fuzzy systems. The emphasis is on the development of a class of algorithms and analysis techniques for adaptive modeling. More specifically, the purpose is to develop new evolving systems modeling and analysis techniques. Evolving systems are of utmost importance because they provide mechanisms for simultaneous structural and parametric learning. The project also aims to apply the developed approaches to economics and financial modeling. (AU)

Scientific publications

(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)

MACIEL, LEANDRO; GOMIDE, FERNANDO; BALLINI, ROSANGELA. Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting. COMPUTATIONAL ECONOMICS, v. 48, n. 3, p. 379-398, OCT 2016. (11/13851-3)

LEITE, DANIEL; BALLINI, ROSANGELA; COSTA, PYRAMO; GOMIDE, FERNANDO. Evolving fuzzy granular modeling from nonstationary fuzzy data streams. EVOLVING SYSTEMS, v. 3, n. 2, p. 15-pg., 2012-06-01. (11/13851-3)

MACIEL, L.; GOMIDE, F.; BALLINI, R.; YAGER, R.; IEEE. Simplified Evolving Rule-Based Fuzzy Modeling of Realized Volatility Forecasting with Jumps. PROCEEDINGS OF THE 2013 IEEE CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING & ECONOMICS (CIFER), v. N/A, p. 8-pg., 2013-01-01. (11/13851-3)