Abstract
A fuzzy trend model is introduced for analyzing the trend of long-term financial time series based on the Takagi-Sugeno's fuzzy system. Most of financial time series models are focused on the variance of time series under the assumption that the mean is constant or has a special structure. However, such an assumption does not hold for long-term time series. On the other hand the mean value of the fuzzy trend model can fluctuate slowly. In this paper an identification plocedure of the fuzzy trend model is proposed and its usability is examined by simulation studies. Moreover the proposed plocedure is applied to Tokyo Price Index (TOPIX) and it is shown that the fuzzy trend model provides a new correlation analysis method on the trend.
