Foreign exchange rate prediction by fuzzy inferencing on deterministic chaos

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.