Intelligence Model for the Sensitivity Analysis of Financial Time Series

Sensitivity analysis on electricity price is one of focused and unsolved problems in the researches of electricity market. A challenge is that there is no definite mathematical equation of price due to the special complexity of electricity market. So a novel model based on fuzzy neural network (FNN) is presented for the sensitivity analysis of financial time series, for example, electricity price. Here the work mainly consists two parts. One is to build an intelligence model to study the mapping relationship of price and its influence factors by FNN. The other is to build a sensitivity model by simulation using the trained FNN, where the responding price is estimated by simulating the changes in the influence factors. In this way, price sensitivity analysis is accomplished. Case studies are used to test the proposed model,