Determination of fuzzy logic relationships between observations is quite effective on the forecasting performance of fuzzy time series approaches. In various studies available in the literature, it has been seen that utilizing artificial neural networks for establishing fuzzy relations increase the forecasting accuracy. In this study, a novel high order fuzzy time series forecasting approach in which multiplicative neuron model is used to define fuzzy relations is proposed in order to reach high forecasting level. Also, particle swarm optimization method is utilized to train multiplicative neuron model. In order to show forecasting performance of the proposed method, it is applied to a well-known data Taiwan future exchange and the results produced by the proposed approach is compared to those obtained from other fuzzy time series forecasting models. As a result of the implementation, it is observed that the proposed approach gives the best forecasts for Taiwan future exchange time series. (C) 2012 Elsevier Ltd. All rights reserved.