Foreign exchange rate prediction by fuzzy inferencing on deterministic chaos

Author

Ghoshray, S.

Author_Institution

Dept. of Electr. & Comput. Eng., Florida Int. Univ., Miami, FL

fYear

1996

Firstpage

96

Lastpage

102

Abstract

Predicting foreign exchange rates and stock market have been a well researched topic in the field of financial engineering. However, most methods suffer from serious drawback due to inherent uncertainty and the data acquisition problems. In this research, we have analyzed the very nature of the time series data from a pure dynamical system point of view and explored the deterministic chaotic characteristic in it. A fuzzy reconstruction method based on fuzzy multiple regression analysis have been used to predict the foreign exchange rates with accuracy

Keywords

chaos; financial data processing; forecasting theory; foreign exchange trading; fuzzy set theory; inference mechanisms; statistical analysis; time series; uncertainty handling; data acquisition problems; deterministic chaos; deterministic chaotic characteristic; dynamical system; financial engineering; foreign exchange rate prediction; fuzzy inferencing; fuzzy multiple regression analysis; fuzzy reconstruction method; stock market; time series data; uncertainty; Chaos; Data acquisition; Economic forecasting; Exchange rates; Fluctuations; Instruments; Predictive models; Reconstruction algorithms; Stock markets; Time series analysis;

fLanguage

English

Publisher

ieee

Conference_Titel

Computational Intelligence for Financial Engineering, 1996., Proceedings of the IEEE/IAFE 1996 Conference on

Conference_Location

New York City, NY

Print_ISBN

0-7803-3236-9

Type

conf

DOI

10.1109/CIFER.1996.501830

Filename

501830