Stock market investing is an inherently risky and imprecise activity, requiring complex decision making under uncertainty. This paper proposes a method that applies fuzzy rule-based inference to rank stocks based on price momentum and market capitalization. Experiments performed on Thai stock market data showed that high-momentum stocks significantly outperformed the market index benchmark, and that stocks of companies with small market capitalization performed better than larger ones. Fuzzy rule-based inference was applied to combine both the momentum factor and the market capitalization factor, with different sets of rules for different prevailing market conditions. The result produced a higher investment return than using either momentum or market capitalization alone.
IOS Press, Inc.
6751 Tepper Drive
Clifton, VA 20124
Tel.: +1 703 830 6300
Fax: +1 703 830 2300 email@example.com
(Corporate matters and books only) IOS Press c/o Accucoms US, Inc.
For North America Sales and Customer Service
West Point Commons
Lansdale PA 19446
Tel.: +1 866 855 8967
Fax: +1 215 660 5042 firstname.lastname@example.org