CURRENCY EXCHANGE RATE PREDICTION TECHNIQUE BY FUZZY INFERENCING ON THE CHAOTIC NATURE OF TIME SERIES DATA

Predicting foreign exchange rates and stock market indices have been a well researched topic in the field of financial engineering. However, most methods suffer from serious drawback due to the inherent uncertainty in the data acquisition process. Here, we have analyzed the very nature of the time series data from a pure dynamic system point of view and explored the deterministic chaotic characteristic in it. In this research, the concept of chaos has been analyzed thoroughly and the relationships among chaos, stability and order have been explained with respect to the concept of time. A method of predicting time series data based on deterministic dynamically system has been presented in this monograph. The present research revolves around the concepts of embedding and fuzzy reconstruction. In this regard, the necessary and sufficient condition for this reconstruction of the state space of the dynamic system in a multi-dimensional Euclidean space has been substantiated in accordance to Theory of embedding. Finally, a fuzzy reconstruction method based on fuzzy multiple regression analysis method has been used to predict the foreign exchange rates with accuracy.