Forecasting Gold Prices Using Fuzzy C Means

JOURNAL OF COMPUTING, VOLUME 3, ISSUE 3, MARCH 2011, ISSN 2151-9617
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Forecasting Gold prices using Fuzzy C

means
Pushpa Rani Suri † and Neetu Sardana ††,
Abstract- Gold is a precious metal since past and consequently its price forecast has been a subject of interest among
people. The demand for this commodity is on the rise. Due to increase in its demand, it is necessary to develop a model
that reflects the structure and pattern of gold market and forecast movement of gold price.
For this reason, we make an attempt to develop a forecasting model for predicting gold prices. We use Fuzzy C Mean
(FCM) based on the Takagi-Sugeno Model, to forecast gold price. The results obtained are satisfactory.
Index Terms- Gold price, forecasting, Fuzzy C Means, forecast, Time series, Takagi Sugeno, weighted least square.
——————————  ——————————
1 INTRODUCTION: methodology that has been widely and

successfully applied in various areas like
Time series forecasting is a task of predicting
the next value of an equity, interest rate,
pattern recognition, machine learning,
currency price, etc. from the history of the time
forecasting, share marketing, risk analysis,
series. One of the problems in this approach is
image analysis and bioinformatics [14].
that there is limited knowledge available about
Gold plays an important role in maintaining
the time series movements due to uncertainties
value, investment and national economic
in the real data. Moreover, real data are
stability. Moreover international trade, foreign
generally nonlinear in nature. Existing
currency policy and fiscal deficit, the stock
conventional techniques are not capable of
market, international political turmoil and war
handling the uncertainties, and hence, some
have a significant impact to the gold price
new techniques are required.
directly or indirectly. Therefore, it is necessary
Data mining techniques has been used
to carry out the prediction research on gold
extensively to handle the uncertainties. The
price. [57]
field of data mining is used to discover
In view of the forgoing discussion, we
patterns or concepts that are not evident. The
implemented fuzzy clustering for forecasting
process usually consists of the method that
gold prices. It may be noted that to the best of
transforms the data to a suitable format, cleans
our knowledge no work has been done for
it, and infers or makes conclusions related to
gold price forecasting based on Fuzzy
data. Fuzzy system provides an interesting tool
clustering. In forecasting, the basic objective is
for such tasks, mainly because of its capability
to identify the behavior of the system. Our
to represent imperfect information. Fuzzy
objective is to implement fuzzy clustering for
system has very strong functional capabilities
shortterm forecasting considering uncertainty
to fit or map a function to a finite number of
present in the Gold price.
inputoutput data. If Fuzzy Inference System
(FIS) is properly constructed, then it can
Clustering is a method of unsupervised
perform very complex operations, even more
learning, in which observations are known,
complex than those performed by a linear
with which homogeneous clusters are formed.
mapping. In the last decade a great deal of
The division is based upon attribute values of
attention has been paid to the statistical
observations. The goal is to divide the
analysis of data based on fuzzy clustering and
observation in such a way that observation
it has been shown that clustering based
assigned to the same cluster should be as
function approximation is indeed the optimum
similar as possible. Clustering methods can be
heuristic, hierarchical or objective function Equation (2) states a function approximation
based. Here, we use fuzzy clustering problem. It is known to be good
methodology based on objective function for approximation if f approximates g over the
calculation of fuzzy membership function for whole space of inputs X= (x1, x2,…, xn). In
each observation and center of each cluster [8]. other words, we wish to tune fuzzy system
With the known membership function for each f(x/θ) so that e(x) is small.
input variable (inputs gold prices of two
consecutive months and output is the gold A fuzzy model of the MISO system is a set of n
price of next successive month), we can rules that can be built using the inputoutput
perform weighted least square computations training data. The general rule structure If
for determining the parameters of the linear Then rules for a MISO system can be
consequent functions. represented in the form.
The rest of the paper is organized as follows. In A1j and x2 is A2j then p1 is g j ( x)
1
section 2, we present modeling of Fuzzy Logic R1: If x1 is
Control System. Section 3, describes how
membership function is calculated using Also…also
clustering. Section 4, performs least square
methodology for calculating fuzzy rule Aj Aj g nj ( x)
consequents. In Section 5, we present a Rn: If x1 is 1 and x2 is 2 then pn is ,
numerical illustration to describe the where i = (1, R) and R is number of rules.
methodology. Finally the paper is concluded in
section 6. (3)
In MISO fuzzy system, in order to form Ifthen
rule we are using fuzzy clustering for
optimization to pick the clusters and hence the
2: MODELING OF FUZZY LOGIC CONTROL premise membership function parameters. The
SYSTEM consequent parameters are chosen using least
We consider a Multiple Input Single Output square method. TakagiSugeno method is
(MISO) system. The task is to use past gold forming the consequent portion of the IfThen
prices upto time t to predict the price of gold at rule, which is a function of crisp inputs.
time t+δt in the future. The input for this type The TakagiSugeno fuzzy system is defined by
of prediction is N number of prices equally the following equation.
spaced S i.e. monthly, yearly etc. Hence, if x1,
x2 have gold prices at t, t+1 and p is a gold
price at t+2 where t is point of time that is
R
spaced monthly w.r.t each year.
The fuzzy system for the gold price forecasting ∑g
j =1
j ( x )µ Hj ( x )
is defined as p = f (x / θ ) = R

f :x→ p ∑µ j
H ( x)
(1) j =1
(4)
Here we wish to identify g(x) that denotes the
whole physical system of time series consisting where
gold prices. We choose finite set of input R is the number of rules in rule base.
output data pairs G (training data set) where G
is a subset of g. This training dataset G is used µ Hj ( x ) is the membership function associated with H j
to construct a fuzzy system f by manipulating
θ so that f(x/θ) approximates g as closely as
possible. So that H j represents the premise certainty for rule j
g ( x) = f ( x / θ ) + e( x )
(2)
g j ( x) = aTj x
and where
 u11 u12 ... u1n 
a j =  a j ,0 , a j ,1 , a j ,2 , a j ,3 ,..., a j ,n  u u ... u2 n 
and
U =  21 22 where i = 1, 2, …, M and k = 1,
x = 1, x  T
 ... 
 
 uc1 uc 2 ... uMR 
Here, we use fuzzy clustering coupled with (5)
least squares to train TakagiSugeno fuzzy j
system to determine the parameters Center of clusters v ,can be arrayed in Matrix V as
j
a j , µ Hj ( x) g j ( x) V = v , j =1, 2... R.
and .
(6)
FCM is use to find the membership function
3 CALCULATIONS OF MEMBERSHIP FUNCTION and cluster centers to minimize objective
USING CLUSTER ANALYSIS function.
Clustering of numerical data forms the basis of R M m
j = ∑∑ ( µij ) x i − v j
2
many classification and systemmodeling
algorithm. The purpose of clustering is to i =1 j =1

distill natural grouping of data from a data set,
producing a concise representation of a (7)
system’s behavior. [9] The FCM algorithm is where, R is number of clusters (rules), M
one of the most widely used clustering µ
algorithms. Professor Jim Bezdek originally number of input output data pairs, ij is
introduced this technique in 1991[10]. membership function of the ith data pair in j
j
FCM starts with an initial guess for the cluster th cluster, v is cluster center of jth cluster.
centers, which are intended to mark the mean Minimization of J results in cluster center
location of each cluster. The initial guess for being placed forming groups of data. Here,
these cluster centers is most likely incorrect. “fuzziness factor” is a parameter that
Additionally, FCM assigns every data point a determines the amount of overlapping of the
membership grade for each cluster. Iteratively, clusters and e(x) determines the error
updating the cluster centers and the tolerance.
membership grades for each data point, FCM We begin the process by initializing the cluster
iteratively moves the cluster centers to the
right location within a data set so that error is v0j ) via random number generator
centers (
minimized
vj
In fuzzy clustering, data are bound to each such that each component 0 should lie with
cluster by means of a membership function, the training dataset. Consequently, for the next
which represents the fuzzy behaviour of the iterations cluster center is calculated as
fuzzy system. We find the optimum
M
membership values of all data points in all
clusters whose factors are numbers between 0 ∑ x (µ i new m
ij )
and 1 represents the degree of membership v j
new = i =1
M
between data and centers of clusters.
Membership values of all data points in all
∑ (µ
i =1
new m
ij )

clusters uik, can be combined in a M×R (8)
matrix represented as We compute the membership values for each
cluster center as

The consequent parameters in each rule are
−1 estimated separately using WLS method by
 1
 minimizing the following criterion
 R  x i − vold 
2 m −1
j
 2
= ∑   M
µijnew  j j = ∑ ( µij ) 2 ( y i − ( xi )T a j )
 k =1  x i − vold 
2
k
  i =1 For j=1,2, …,
  R. (11)
(9) T
x i = 1, ( xi )T 
where , is a unitary column
where i= 1,2,…,M and j=1,…,R. such that
R µ
extend the regression matrix. ij is
∑µ new
ij =1 membership function for ith data pair and jth
summation j =1 . cluster that resulted from clustering algorithm.
We will compare the distance between the
aj
vj , defines the output associated to jth rule
current cluster centers new and the initial
j j for ith training data pair,
y i is the output
v v
cluster centers = at the end of first
old 0
portion of the ith data pair d(i) =
( xi , yi ) .
iteration and will proceed based on following
criteria Rule consequent can be computed as
j
vnew − vold
j
< e( x ) g j ( x) = aTj x
If (for j = 1,2,…,R) where
Calculate the final membership functions a j =  a j ,0 , a j ,1 , a j ,2 , a j ,3 ,..., a j ,n 
w.r.t each clusters and stop and
Else x = 1, x  T
Continue with iterations, that is compute , for j=1, …, R.
membership grades and cluster centers and
check for the condition.
(10) (12)
The statement (10) states that cluster centers ( Here, the weighted least squares estimated of
j the consequent parameter is calculated as
v ) accurately represents the input data.
new
With respect to each cluster centers and we a j = [( X T D j2 X ) −1 X T D2j X ]

µ new (13)
have resultant membership grades ij
where i= 1,…,M and j=1,…,R. this forms the Where
T
premise membership functions. 1 1 1 1 ... 1 
X = 1
4 DESIGN OF FUZZY RULE CONSEQUENT x x2 x3 x4 ... x M 
For rule consequent least square methodology
is applied as least square method which is a

Y = [ y1 , y 2 ,..., y M ]T
very popular technique used to compute
estimation of parameters and to fit data. It
( ( ))
2
exists in various variations. Its simpler version D = diag  µ1 j , µ2 j ,..., µMj 
is ordinary least square (OLS), a more
sophisticated version is called weighted least
square (WLS), which often performs better 5 NUMERICAL ILLUSTRATION
than OLS because it can modulate the In this section we present a numerical
importance of each observation in the final illustration to describe the methodology. We
solution[11]. So we use WLS for computing use data consist of 224 monthly observed gold
rule consequent. price (Gram/US dollars) from January 1991 to
December 2009 [12]. A MISO model based on cluster centers. We will continue this

fuzzy logic is being developed to obtain a procedure till this condition (10) is satisfied.
reliable prediction of the gold price based on
fuzzy clustering method. Here, condition justified at iteration 63 so,
We implement this algorithm for forecasting FCM algorithm terminated at 63 iterations.
Gold price problem and analysis the results for After 63 iterations, resultant membership
this problem. grades forms the premise for Takagi sugeno
Here, we take fuzziness factor m=2, e (x) function. We have matrix U of (224*4)
=0.001 and M =224. Also we take R=4, and are dimension can be represented as
randomly chosen to be
TABLE 4: MEMBERSHIP GRADES (224*4)
TABLE 1: CLUSTER CENTERS UMR 1 2 3 4
1 0.027590935 0.969059892 0.002664428 0.000684745
v01 v02 v03 v04 2

3
0.068214715
0.094352675
0.925924063 0.004629334 0.001231887
0.898269759 0.005814974 0.001562592
4 0.129422199 0.861591565 0.007066364 0.001919872
250.03 338.46 600.86 888.12 5 0.087179582 0.905749965 0.005577225 0.001493229
6 0.04206441 0.953849398 0.003236131 0.000850061
273.44 467.45 729.37 996.46 7 0.088313996 0.904474127 0.005688302 0.001523574
8 0.203038899 0.785325005 0.009115518 0.002520578
9 0.184381985 0.804492451 0.008724497 0.002401067
With respect to initial centers, membership 10 0.108018002 0.883963875 0.006313681 0.001704442
11 0.095476099 0.89712966 0.005827459 0.001566783
values are being calculated. As we have 4 12 0.129498298 0.861442212 0.007124267 0.001935223
cluster centers and 224 inputs so we have 13
14
0.17526476
0.260199042
0.81404492 0.008385537 0.002304783
0.726741824 0.010205361 0.002853774
(4*224=896) membership grades. With respect 15 0.409422503 0.575951344 0.011368821 0.003257332
16 0.485355122 0.500076471 0.011296595 0.003271812
to each cluster center we will have 224 17 0.460197629 0.525165025 0.011359488 0.003277857
membership grades calculated using equation 18
19
0.295965991
0.276668955
0.690256377 0.010753547 0.003024085
0.709926345 0.010468596 0.002936104
(9). New cluster centers are compute using (8) 20 0.349972841 0.635841842 0.011048964 0.003136352
21 0.335878476 0.65008322 0.010939592 0.003098712
during iteration 1 and 2 are 22 0.437393516 0.547848869 0.01146018 0.003297435
23 0.540232493 0.445510287 0.011036082 0.003221139
24 0.613068901 0.373424343 0.010430175 0.003076581
TABLE 2: CLUSTER CENTERS DURING ITERATION 1 25 0.669022014 0.318448261 0.009658472 0.002871254
26 0.658291175 0.328981477 0.009814381 0.002912967
v1new 2
vnew 3
vnew 4
vnew 27
28
0.512074284
0.178786969
0.473211254 0.01140021 0.003314252
0.809491037 0.009200616 0.002521377
29 0.029682667 0.967200617 0.002472734 0.000643982
30 0.011427255 0.986788978 0.001428753 0.000355014
298.78683962 388.2553923 646.743709680 900.456608058 31 0.006468743 0.992424863 0.000888401 0.000217993
981938 9515228 35691 16692 32 0.06499012 0.928591473 0.005079924 0.001338483
298.67637230 390.4146410 659.596276549 913.295833458 33 0.107138085 0.88478855 0.006358755 0.00171461
34 0.034692706 0.961715847 0.002848272 0.000743175
965627 2851739 65277 86525
35 0.005009345 0.994291361 0.000558655 0.000140639
36 0.000724496 0.999153389 0.0000981 0.0000241
37 0.001243759 0.998550907 0.000164762 0.0000406
38 0.0000526 0.999938999 0.0000067 0.00000166
TABLE 3: CLUSTER CENTERS DURING ITERATION 2 39 0.002567062 0.997052189 0.000304628 0.0000761
40 0.002121147 0.997577434 0.000240921 0.0000605
v1new 2
vnew 3
vnew 4
vnew 41
42
0.000388164
0.00079582
0.999549447 0.00005 0.0000124
0.999068365 0.000109087 0.0000267
43 0.001103859 0.998721501 0.000139971 0.0000347
44 0.004001849 0.99530467 0.000557209 0.000136272
295.73772065 385.9424821 639.610092719 895.049730689 45 0.006232446 0.992540155 0.000989827 0.000237572
631 36 553 370 46 0.002943143 0.996532331 0.000421771 0.000102754
295.70988111 387.0276010 649.482028813 905.160417527 47 0.001275617 0.998528828 0.000156602 0.000039
48 0.002267398 0.99741395 0.000254617 0.000064
270 73 850 164
49 0.004211959 0.995219258 0.000454012 0.00011477
50 0.00237717 0.997283694 0.000271094 0.000068
At each iteration cluster center are calculated 51
52
0.003222715
0.004052342
0.996209831 0.000456167 0.000111287
0.995204888 0.000597726 0.000145044
based on values of the immediate previous 53 0.001335072 0.998431931 0.000187263 0.0000457
54 0.00183962 0.997834359 0.000262131 0.0000639
vj vj 55 0.000800545 0.999064945 0.00010799 0.0000265
iteration i.e. as old = 0 . We compare the 56 0.000106202 0.999876748 0.0000137 0.00000338
57 0.0000199 0.999976938 0.00000254 0.000000628
distances between the current cluster centers 58 0.048332265 0.94629937 0.004259974 0.001108391
j
vj
59 0.043664404 0.951110771 0.00415424 0.001070584
vnew 60 0.01448673 0.98239335 0.002522499 0.000597421
and the previous cluster centers old that 61 0.030360413 0.961435673 0.0066803 0.001523615
is we check for condition (10) and we found 62 0.02705667 0.966003336 0.00564071 0.001299283
63 0.012960365 0.984203784 0.002293994 0.000541856
that condition was not satisfied so we proceed 64 0.008880765 0.989282813 0.001483099 0.000353323
65 0.005032608 0.994029148 0.000755376 0.000182868
with next iterations that is, calculating the 66 0.000441081 0.999486179 0.0000584 0.0000144
membership grades w.r.t. clusters and then 67 0.000979996 0.998853121 0.000134035 0.0000328
68 0.001400969 0.998361695 0.000190578 0.0000468 155 0.026909118 0.966459212 0.005383198 0.001248472

69 0.00031821 0.999632526 0.0000395 0.0000098 156 0.051559724 0.931267654 0.014080025 0.003092597
70 0.002376008 0.997285281 0.000270734 0.000068 157 0.049576376 0.934380579 0.013138551 0.002904494
71 0.017285176 0.98066797 0.001628265 0.00041859 158 0.038776008 0.949780938 0.009344412 0.002098642
72 0.089876425 0.902737632 0.005825706 0.001560236 159 0.036216237 0.953407289 0.008464736 0.001911738
73 0.230064324 0.757567964 0.009677104 0.002690608 160 0.019834332 0.975948418 0.003406461 0.000810789
74 0.256128073 0.731027984 0.010039346 0.002804597 161 0.004022798 0.995245783 0.000588508 0.000142911
75 0.276700212 0.709999666 0.010386831 0.00291329 162 0.01409488 0.982775606 0.002532808 0.000596706
76 0.350787238 0.635026967 0.011048803 0.003136991 163 0.022520979 0.971887834 0.004540629 0.001050559
77 0.389283859 0.596225644 0.011271145 0.003219352 164 0.031236237 0.960247366 0.006936732 0.001579665
78 0.599223051 0.386694262 0.01087671 0.003205978 165 0.059282184 0.919869615 0.01712337 0.003724831
79 0.764367751 0.225306433 0.007932296 0.00239352 166 0.101163881 0.845364781 0.044569225 0.008902113
80 0.775196186 0.214780136 0.007696849 0.002326829 167 0.120193636 0.799059586 0.067951222 0.012795557
81 0.76776963 0.221994888 0.007861919 0.002373563 168 0.108523727 0.829509536 0.051788373 0.010178364
82 0.873764856 0.119260993 0.005325868 0.001648283 169 0.085406895 0.875259215 0.03262159 0.0067123
83 0.985146947 0.01369685 0.000872936 0.000283268 170 0.096810843 0.853480833 0.041394131 0.008314193
84 0.998790149 0.001103327 0.00008 0.0000265 171 0.102505442 0.841472797 0.046759064 0.009262696
85 0.997425974 0.002361615 0.00016001 0.0000524 172 0.088704553 0.86932299 0.034841034 0.007131423
86 0.996771771 0.002976422 0.000190075 0.0000617 173 0.090685625 0.865448372 0.036447865 0.007418138
87 0.977680054 0.020726572 0.001206848 0.000386527 174 0.093432903 0.860160587 0.038592227 0.007814283
88 0.973962794 0.024235437 0.001365912 0.000435857 175 0.10240456 0.842074688 0.046328404 0.009192348
89 0.996411173 0.003304025 0.000214843 0.00007 176 0.132396263 0.764486152 0.087285778 0.015831807
90 0.99995122 0.0000447 0.00000306 0.000001 177 0.150306133 0.682796944 0.143417577 0.023479345
91 0.996110543 0.003544021 0.000259425 0.000086 178 0.155807469 0.627007088 0.188504706 0.028680737
92 0.995709469 0.003899222 0.000293564 0.0000977 179 0.154741954 0.507906549 0.298478555 0.038872943
93 0.998205381 0.001644919 0.00011272 0.000037 180 0.113871827 0.295408873 0.542390991 0.048328309
94 0.998258916 0.001602536 0.000104504 0.000034 181 0.07590252 0.179190639 0.701248352 0.043658488
95 0.999496697 0.000461745 0.0000313 0.0000103 182 0.062009164 0.141427141 0.756494131 0.040069565
96 0.998439945 0.001423425 0.000102669 0.000034 183 0.027239868 0.056309047 0.890906986 0.025544099
97 0.99711248 0.002626541 0.000195855 0.0000651 184 0.006387107 0.011543797 0.969698985 0.012370111
98 0.996421031 0.003252901 0.000244618 0.0000814 185 0.015670368 0.028593599 0.928588494 0.027147539
99 0.992894676 0.006436637 0.000500954 0.000167733 186 0.006774589 0.013087849 0.971169276 0.008968286
100 0.983629312 0.014733038 0.001223534 0.000414116 187 0.000454931 0.000845607 0.997931949 0.000767512
101 0.951679496 0.042807441 0.004093093 0.00141997 188 0.009155098 0.017666962 0.961043309 0.012134631
102 0.923433018 0.066848474 0.007173932 0.002544576 189 0.022664414 0.046643287 0.908617724 0.022074576
103 0.916366796 0.072775904 0.008004473 0.002852827 190 0.01184813 0.023335684 0.950737261 0.014078925
104 0.931549972 0.060007009 0.006243017 0.002200002 191 0.000881344 0.001653796 0.996062527 0.001402333
105 0.94456011 0.05031335 0.003849322 0.001277218 192 0.00064881 0.001213025 0.997082436 0.001055729
106 0.972508358 0.025511294 0.001499402 0.000480946 193 0.001884032 0.003393335 0.990835795 0.003886838
107 0.9953192 0.004263483 0.000313361 0.000103956 194 0.004111576 0.007254038 0.978659286 0.0099751
108 0.992413802 0.006867929 0.000537967 0.000180302 195 0.006177384 0.010755665 0.966436932 0.016630019
109 0.992020575 0.007305713 0.000507133 0.000166578 196 0.008837567 0.015239932 0.950091957 0.025830544
110 0.993732034 0.005747663 0.000391838 0.000128466 197 0.004613557 0.008119744 0.975864107 0.011402592
111 0.990079731 0.008971021 0.000710624 0.000238624 198 0.003605714 0.006355843 0.981205026 0.008833416
112 0.978921691 0.01891127 0.001617012 0.000550026 199 0.005348743 0.009347451 0.971268427 0.014035379
113 0.983346309 0.015002101 0.001234602 0.000416989 200 0.016684438 0.028008369 0.894051073 0.06125612
114 0.991648623 0.007558273 0.000593928 0.000199177 201 0.032516791 0.051504871 0.676501143 0.239477195
115 0.979246115 0.018630367 0.001584894 0.000538624 202 0.031767005 0.047901756 0.366891276 0.553439963
116 0.970334215 0.026482755 0.002370336 0.000812695 203 0.022996122 0.033978915 0.21728524 0.725739722
117 0.963857164 0.032159959 0.002962063 0.001020813 204 0.011253931 0.016063935 0.077527919 0.895154215
118 0.952568036 0.0419716 0.004051918 0.001408446 205 0.000609394 0.000839513 0.003196552 0.995354541
119 0.954459397 0.040339333 0.00386145 0.00133982 206 0.006239044 0.008416223 0.028134092 0.957210641
120 0.953599766 0.041084586 0.003945511 0.001370137 207 0.006953363 0.009405214 0.031783571 0.951857851
121 0.939300696 0.053376732 0.005420441 0.00190213 208 0.000689571 0.000953718 0.003716166 0.994640545
122 0.935619264 0.056514849 0.005818759 0.002047128 209 0.000185872 0.000258651 0.00105115 0.998504327
123 0.933367974 0.058432133 0.006063347 0.002136546 210 0.001926061 0.002639745 0.009723353 0.985710842
124 0.945471966 0.048128452 0.004744814 0.001654768 211 0.008123808 0.011269387 0.044088799 0.936518006
125 0.962465969 0.03337198 0.003094369 0.001067682 212 0.011554793 0.016675943 0.087930424 0.88383884
126 0.955349387 0.039561157 0.003778612 0.001310843 213 0.018174398 0.026551514 0.153753463 0.801520626
127 0.958209169 0.037084136 0.003496738 0.001209957 214 0.031545479 0.047423696 0.347574736 0.573456089
128 0.977269535 0.02039885 0.00174025 0.000591365 215 0.029626708 0.044339789 0.316437931 0.609595572
129 0.991420696 0.007760447 0.000613085 0.000205772 216 0.010978005 0.015801183 0.08173632 0.891484492
130 0.982960382 0.015331457 0.001276094 0.000432067 217 0.003669187 0.00506183 0.019387858 0.971881126
131 0.975445844 0.021980731 0.001918538 0.000654887 218 0.003904128 0.005298954 0.01835069 0.972446228
132 0.981343403 0.016766331 0.001411537 0.000478729 219 0.001621598 0.002232027 0.008421003 0.987725372
133 0.992664842 0.006682947 0.000489893 0.000162318 220 0.001005729 0.001382688 0.005196091 0.992415491
134 0.998902005 0.001009599 0.0000666 0.0000218 221 0.004031379 0.005462428 0.018754367 0.971751826
135 0.991261819 0.008073887 0.000501973 0.000162321 222 0.004770347 0.006454521 0.021946779 0.966828353
136 0.944214092 0.052263589 0.002678802 0.000843516 223 0.004869765 0.006583026 0.022284819 0.96626239
137 0.856557352 0.136068317 0.005641956 0.001732376 224 0.012494445 0.016636153 0.051544983 0.919324419
138 0.863744779 0.12913747 0.00544289 0.001674861
139 0.924390657 0.071160141 0.003390437 0.001058765
140 0.892424971 0.10162127 0.004545838 0.00140792 For consequent optimal output
141 0.857840839 0.134865812 0.005579788 0.001713562
142 0.857831802 0.134875938 0.005579152 0.001713108 predefuzzification is applied using weighted
143 0.728382746 0.260140714 0.00882676 0.002649781 least square method. The weighted least
144 0.350143431 0.634652162 0.011845008 0.003359399
145 0.125453942 0.865732563 0.006932326 0.001881168 squares estimator parameters of the linear
146 0.256110962 0.730465093 0.010493174 0.00293077
147 0.560303018 0.425361292 0.0110877 0.00324799 g ( x) = aT x
148 0.39465026 0.589457556 0.012360827 0.003531357 function j j
where j=1, 2….R
149 0.141779006 0.848736223 0.007453068 0.002031703
150 0.18244661 0.806575636 0.008608034 0.00236972 where Jj in equation 11 is minimized were
151 0.159847613 0.82988342 0.008062557 0.002206409 found to be
152 0.042264875 0.953259418 0.003550323 0.000925384
153 0.002382865 0.997283605 0.000266479 0.0000671 a1 = [163.7825, 0.241966, 0.293323]
154 0.003341937 0.99610634 0.000442715 0.000109008
a2 = [163.7825, 0.241966, 0.293323]
Figure a1 Figure b1
a3 = [163.7825, 0.241966, 0.293323]
900
1200
800
a4 = [163.7825, 0.241966, 0.293323]
1000
700
600 800
those are equivalent to one other.
500 2007 Actual 2009 Actual
600
400 2007 Model 2009 Model
300 400
200
200
100
0
Testing the accuracy of Fuzzy based gold

0
J an Feb Mar Apr May J un J ul Aug Sep Oct Nov Dec J an Feb Mar Apr May J un J ul Aug Sep Oct Nov Dec
Y ear 2007 Y ear 2009
forecasting system:
In the present section we present some test
Figure c1 Figure d1
cases to investigate the accuracy of the
proposed fuzzy based gold forecasting system. Figure 2: Unfavorable results (a1, b1, c1, d1)
In literature it is a wellestablished fact that the
forecasting accuracy is inversely related to the
fluctuation of the data set. Our results also
strengthen the wellestablished fact. The
6 CONCLUSION:
accuracy of the forecasted results for the years In this paper, we have developed a simple,
1997, 1999, 2003, 2007 is very high (See Figures systematic and iterative methodology for
a, b, c, d) but at the same time the proposed forecasting gold price. The developed
model is not providing that much promising methodology relies on fuzzy clustering and
accuracy for the years 1994,1998, 2007, 2009(See weighted least square. Integration of the
Figure a1,b1,c1,d1 ). The reason for the varying cluster estimation methodology with the linear
results is due to the level of fluctuation in gold weighted least square estimation procedure
price. It is evident from the actual data that for helped in developing a fast and robust
the years for which the gold prices are less algorithm for identifying fuzzy models from
fluctuated the forecasting results are more numerical data. Robustness in respect to noisy
promising but the same time for the year for data is achieved by averaging the data that
which gold prices are highly fluctuated the takes place in both the cluster estimation and
forecasting results are not that much accurate. least square procedure.
The forecasting results obtained using the
400
350
350
300
proposed methodologies are very
300
250
250
encouraging. They are inline with the well
established fact in the literature of forecasting
1997 Actual 200
200
1999 Actual
1997 Model
1999 Model
150
150
100
50
100
50
that the forecasting accuracy is inversely
0
0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
related to the fluctuation of the data set. Here
Year 1997 Year 1999
it is worthy to point out that the fluctuation in
Figure a Figure b gold prices depends on lots of external facts
like War, Gasoline price, etc. So the proposed
450
6 methodology is perfect in a scenario where the
0
dependence on these external factors is
400
350
5
0
0
300
4
0
250
200
2003 A c tual
2003 M odel
0
3
0
2005
Actu
2005
minimal.
150
0
2 al
Mod
100
0
50 0 el
0 1
0
J an Fe b M ar A pr M ay J un J ul A ug Se p Oct N ov Dec 0
Y e ar 2 003 0
0J F MA M J J A S ON D
a e a p aYea
u u u e c o e
n b r r yr n l g p t v c
REFERENCE:
200
5
[1] Amine Trabelsi, Frederic Lafont, Mohamed
Figure c Figure d Kamoun, Gilles Enea (2007), Fuzzy identification
Figure 1: Favorable results (a, b, c, d) of a greenhouse, Applied Soft Computing, 1092–
1101.
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[2] JianQin Chen, YuGeng Xi, ZhongJun
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385
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Zhang (1998), A clustering algorithm for fuzzy
310
380
model identification, Fuzzy Sets and Systems, 319
Gold Prices
300
375 1998 A ctual
1994Actual
329.
1994Model 1998 Model
370 290
365
280
360
270
355
350 260
J an Feb Mar Apr May J un J ul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul A ug Sep Oc t Nov Dec
Year 1994 Ye ar 1998
[3] Meysar Zeinali and Leila Notash (2005), “A [10] J. C. Bezdek (1981), Pattern Recognition with

Systematic Method of adaptive Fuzzy Logic Fuzzy Objective Function Algorithms. New York,
Modeling, Using an Improved Fuzzy cMeans Plenum.
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Proceedings of the 2005 IEEE Conference on of Social Sciences Research Methods.
Control Applications, Toronto, Canada, 8489. [12] Gold London PM Fix US Dollars,
[4] Y. Nakamori and M. Ryoke (1994), http://www.kitco.com/scripts/hist_charts/yearl
“Identification of fuzzy prediction models through y_ graphs.plx.(accessed on January 2010)
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[5] M. C. Lineesh, K. K. Minu and C. Jessy John Dr. Pushpa.Rani Suri is Associate Professor in
(2010), Analysis of nonstationary Nonlinear the department of computer science and
Economic Time Series of Gold Price: A application at Kurukshetra University, Haryana,
Comparative Study, International Mathematical India. She has supervised number of PhD
Forum, 5, no. 34, 1673 – 1683. students. She had published number of papers in
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Volatility from Options on Gold Futures: Do proceedings.
Econometric Forecasts Add Value or Simply Paint
the Lilly?,June 2. Ms. Neetu Sardana is Sr. Assistant Professor in
[7] Z. Ismail, A. Yahya and A. Shabri (2009), Apeejay School of Management, Delhi, India. She
Forecasting Gold Prices Using Multiple Linear has Master’s degree in Computer Science. At
Regression Method, American Journal of Applied present she is pursuing her PhD in Computer
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[8] Kevin M. Passino, Stephen Yurkovich and analysis.
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Forecasting Gold Prices Using Fuzzy C Means

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JOURNAL OF COMPUTING, VOLUME 3, ISSUE 3, MARCH 2011, ISSN 2151-9617

Forecasting Gold prices using Fuzzy C

1 INTRODUCTION: methodology that has been widely and

With respect to each cluster centers and we a j = [( X T D j2 X ) −1 X T D2j X ]

December 2009 [12]. A MISO model based on cluster centers. We will continue this

v01 v02 v03 v04 2

68 0.001400969 0.998361695 0.000190578 0.0000468 155 0.026909118 0.966459212 0.005383198 0.001248472

Testing the accuracy of Fuzzy based gold

Y ear 2007 Y ear 2009

[3] Meysar Zeinali and Leila Notash (2005), “A [10] J. C. Bezdek (1981), Pattern Recognition with

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