Adjusting beliefs via transformed fuzzy prices

© 2018, Springer International Publishing AG. In the situation that the gut feeling tells otherwise, incorporating information from expert opinions can significantly improve the accuracy of standard estimation and prediction methods, which rely only on observed data. To cope with this problem, we pr...

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Main Authors: Tanarat Rattanadamrongaksorn, Duangthip Sirikanchanarak, Jirakom Sirisrisakulchai, Songsak Sriboonchitta
Format: Book Series
Published: 2018
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038811778&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/43921
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-439212018-01-24T04:15:09Z Adjusting beliefs via transformed fuzzy prices Tanarat Rattanadamrongaksorn Duangthip Sirikanchanarak Jirakom Sirisrisakulchai Songsak Sriboonchitta © 2018, Springer International Publishing AG. In the situation that the gut feeling tells otherwise, incorporating information from expert opinions can significantly improve the accuracy of standard estimation and prediction methods, which rely only on observed data. To cope with this problem, we propose the fusion of data under the Bayesian framework by transforming price estimates into initial beliefs of assets. The proposed methodology focuses on modeling the price expectation by linguistic terms and mathematically extending them to other parameters like the standard deviation. On five sample assets from different markets, our method was experimented and compared with the method of the ARMA-GARCH beyond the points of structural change. The problems are multi-dimensional but conveniently solved by the Metropolis-Hastings algorithm. The results show the significant impacts of expert opinions on the posterior. 2018-01-24T04:15:09Z 2018-01-24T04:15:09Z 2018-01-01 Book Series 1860949X 2-s2.0-85038811778 10.1007/978-3-319-73150-6_64 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038811778&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/43921
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © 2018, Springer International Publishing AG. In the situation that the gut feeling tells otherwise, incorporating information from expert opinions can significantly improve the accuracy of standard estimation and prediction methods, which rely only on observed data. To cope with this problem, we propose the fusion of data under the Bayesian framework by transforming price estimates into initial beliefs of assets. The proposed methodology focuses on modeling the price expectation by linguistic terms and mathematically extending them to other parameters like the standard deviation. On five sample assets from different markets, our method was experimented and compared with the method of the ARMA-GARCH beyond the points of structural change. The problems are multi-dimensional but conveniently solved by the Metropolis-Hastings algorithm. The results show the significant impacts of expert opinions on the posterior.
format Book Series
author Tanarat Rattanadamrongaksorn
Duangthip Sirikanchanarak
Jirakom Sirisrisakulchai
Songsak Sriboonchitta
spellingShingle Tanarat Rattanadamrongaksorn
Duangthip Sirikanchanarak
Jirakom Sirisrisakulchai
Songsak Sriboonchitta
Adjusting beliefs via transformed fuzzy prices
author_facet Tanarat Rattanadamrongaksorn
Duangthip Sirikanchanarak
Jirakom Sirisrisakulchai
Songsak Sriboonchitta
author_sort Tanarat Rattanadamrongaksorn
title Adjusting beliefs via transformed fuzzy prices
title_short Adjusting beliefs via transformed fuzzy prices
title_full Adjusting beliefs via transformed fuzzy prices
title_fullStr Adjusting beliefs via transformed fuzzy prices
title_full_unstemmed Adjusting beliefs via transformed fuzzy prices
title_sort adjusting beliefs via transformed fuzzy prices
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85038811778&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/43921
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