Title :
Foreign exchange rate prediction by fuzzy inferencing on deterministic chaos
Author_Institution :
Dept. of Electr. & Comput. Eng., Florida Int. Univ., Miami, FL
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;
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
DOI :
10.1109/CIFER.1996.501830
