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Proceedings of the 5th International Conference on Frontiers in Intelligent Computing: Theory and Applications pp 219–227Cite as

FOREX Rate Prediction: A Hybrid Approach Using Chaos Theory and Multivariate Adaptive Regression Splines

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Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 515))

Abstract

In order to predict foreign exchange (FOREX) rates, this paper proposes a new hybrid forecasting approach viz., Chaos+MARS involving chaos theory and multivariate adaptive regression splines (MARS). Chaos theory aims at constructing state space from the given exchange rate data with the help of embedding parameters, whereas MARS aims at yielding accurate predictions using state space constructed. The proposed model is tested for predicting three major FOREX Rates- JPY/USD, GBP/USD, and EUR/USD. The results obtained unveil that the Chaos+MARS yields the accurate predictions than other chaos-based hybrid forecasting models and recommend it as an alternative approach to FOREX rate prediction.

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Authors and Affiliations

  1. Center of Excellence in Analytics, Institute for Development and Research in Banking Technology, Hyderabad, 500057, India

    Dadabada Pradeepkumar & Vadlamani Ravi

  2. SCIS, University of Hyderabad, Hyderabad, 500046, India

    Dadabada Pradeepkumar

Authors
  1. Dadabada Pradeepkumar
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  2. Vadlamani Ravi
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Corresponding author

Correspondence to Vadlamani Ravi .

Editor information

Editors and Affiliations

  1. ANITS, Prof., Comp. Sci. & Engg. Dept. ANITS, Visakhapatnam, Andhra Pradesh, India

    Suresh Chandra Satapathy

  2. Dept. of ECE, Shri Ramswaroop Mem. Group of Prof. Clg Dept. of ECE, Lucknow, Uttar Pradesh, India

    Vikrant Bhateja

  3. SCIS, University of Hyderabad , Hyderabad, India

    Siba K. Udgata

  4. KIIT University, School of Computer Engineering KIIT University, Bhubaneswar, Odisha, India

    Prasant Kumar Pattnaik

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© 2017 Springer Nature Singapore Pte Ltd.

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Pradeepkumar, D., Ravi, V. (2017). FOREX Rate Prediction: A Hybrid Approach Using Chaos Theory and Multivariate Adaptive Regression Splines. In: Satapathy, S., Bhateja, V., Udgata, S., Pattnaik, P. (eds) Proceedings of the 5th International Conference on Frontiers in Intelligent Computing: Theory and Applications . Advances in Intelligent Systems and Computing, vol 515. Springer, Singapore. https://doi.org/10.1007/978-981-10-3153-3_22

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  • DOI: https://doi.org/10.1007/978-981-10-3153-3_22

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  • Publisher Name: Springer, Singapore

  • Print ISBN: 978-981-10-3152-6

  • Online ISBN: 978-981-10-3153-3

  • eBook Packages: EngineeringEngineering (R0)

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