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Applying Artificial Neural Networks in Forecasting US Dollars-Indonesian Rupiah Exchange

Ardiansyah, Soleh and Mazlina, Abdul Majid and Jasni, Mohamad Zain (2013) Applying Artificial Neural Networks in Forecasting US Dollars-Indonesian Rupiah Exchange. In: The 2013 International Conference on Computer Science and Information Technology (CSIT-2013), 16-18 June 2013 , Jogjakarta, Indonesia. pp. 1-5..

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Abstract

This paper investigates artificial neural networks prediction modeling of foreign currency rates using Levenberg Marquardt (LM) learning algorithms. The models were trained from historical data using US Dollar (USD) currency rates against Indonesian Rupiah (IDR). The forecasting performance of the models was evaluated using a number of statistical measurements and compared. The results show that significant close prediction result can be made using simple architecture forecasting model. LM1 and LM6 model achieves closer prediction of the actual value than that other model.Both forecasting models attain significantly high rate of predicting correct directional change (above 80%). The effect of network architecture on the performance of the forecasting model is also presented.

Item Type: Conference or Workshop Item (Speech)
Uncontrolled Keywords: Neural network; forecasting; foreign exchange
Subjects: Q Science > QA Mathematics > QA76 Computer software
Faculty/Division: Faculty of Computer System And Software Engineering
Depositing User: Mr. Soleh Ardiansyah
Date Deposited: 25 Mar 2014 03:18
Last Modified: 21 May 2018 01:52
URI: http://umpir.ump.edu.my/id/eprint/5188
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