FOREX Rate prediction using Chaos and Quantile Regression Random Forest

Abstract

This paper presents a hybrid of chaos modeling and Quantile Regression Random Forest (QRRF) for Foreign Exchange (FOREX) Rate prediction. The exchange rates data of US Dollar (USD) versus Japanese Yen (JPY), British Pound (GBP), and Euro (EUR) are used to test the efficacy of proposed model. Based on the experiments conducted, we conclude that the proposed model yielded accurate predictions compared to Chaos + Quantile Regression (QR), Chaos+Random Forest (RF) and that of Pradeepkumar and Ravi [12] in terms of both Mean Squared Error (MSE) and Mean Absolute Percentage Error (MAPE).