Title: A hierarchical fuzzy system with high input dimensions for forecasting foreign exchange rates

Authors: France Cheong

Addresses: School of Business IT, RMIT University, Melbourne, Victoria 3000, Australia

Abstract: Fuzzy systems suffer from the curse of dimensionality as the number of rules increases exponentially with the number of input dimensions. Although several methods have been proposed for eliminating the combinatorial rule explosion, none of them is fully satisfactory. In this paper, we describe a method for building fuzzy systems with high input dimensions based on the hierarchical architecture and the MacVicar-Whelan meta-rules. We tested the method by building fuzzy systems for two different applications, namely the forecasting of the Mexican and Argentinan pesos exchange rates. In both cases, our approach was successful as both fuzzy systems performed very well.

Keywords: fuzzy control; hierarchical fuzzy logic controllers; dimensionality curse; forecasting; financial engineering; MacVicar-Whelan metarules; pesos exchange rates; Mexico; Argentina.

DOI: 10.1504/IJAISC.2008.021261

International Journal of Artificial Intelligence and Soft Computing, 2008 Vol.1 No.1, pp.15 - 24

Published online: 14 Nov 2008 *

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