A Fusion Model Integrating ANFIS and Artificial Immune Algorithm for Forecasting Indian Stock Market

Stock market forecasting provides challenging and interesting task to both investors and academic researchers because trading decision at an appropriate time makes more profit for investors. In present study, a new approach has been proposed to integrate Adaptive Neuro-Fuzzy Inference System (ANFIS) with Artificial Immune Algorithm (AIA) for predicting the future index value of National Stock Exchange (NSE) of India. In order to make an efficient forecasting model, ANFIS is employed to optimize decision-making process and an efficient artificial immune algorithm is adopted to adjust membership function parameters of Fuzzy Inference System (FIS). The proposed system was simulated using daily closing value of NSE Nifty data and well-known technical indicators as input data values and output is the predicted future index value of NSE Nifty. Simulation results of our fusion model have been compared with other soft computing models and actual NSE Nifty data as benchmark. The experimental results showed that the proposed forecasting model yielded significantly higher forecasting accuracy values than other forecasting models.