Applying Artificial Neural Networks in Forecasting US Dollars-Indonesian Rupiah Exchange
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 m...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | http://umpir.ump.edu.my/id/eprint/5188/1/CSIT-2013_Ardiansyah_Soleh.pdf |
| _version_ | 1825821623454793728 |
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| author | Ardiansyah, Soleh Mazlina, Abdul Majid Jasni, Mohamad Zain |
| author_facet | Ardiansyah, Soleh Mazlina, Abdul Majid Jasni, Mohamad Zain |
| author_sort | Ardiansyah, Soleh |
| collection | UMP |
| description | 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. |
| first_indexed | 2024-03-06T11:44:20Z |
| format | Conference or Workshop Item |
| id | UMPir5188 |
| institution | Universiti Malaysia Pahang |
| language | English |
| last_indexed | 2024-03-06T11:44:20Z |
| publishDate | 2013 |
| record_format | dspace |
| spelling | UMPir51882018-05-21T01:52:45Z http://umpir.ump.edu.my/id/eprint/5188/ Applying Artificial Neural Networks in Forecasting US Dollars-Indonesian Rupiah Exchange Ardiansyah, Soleh Mazlina, Abdul Majid Jasni, Mohamad Zain QA76 Computer software 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. 2013-06-16 Conference or Workshop Item PeerReviewed application/pdf en http://umpir.ump.edu.my/id/eprint/5188/1/CSIT-2013_Ardiansyah_Soleh.pdf 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.. (Published) |
| spellingShingle | QA76 Computer software Ardiansyah, Soleh Mazlina, Abdul Majid Jasni, Mohamad Zain Applying Artificial Neural Networks in Forecasting US Dollars-Indonesian Rupiah Exchange |
| title | Applying Artificial Neural Networks in Forecasting US Dollars-Indonesian Rupiah Exchange |
| title_full | Applying Artificial Neural Networks in Forecasting US Dollars-Indonesian Rupiah Exchange |
| title_fullStr | Applying Artificial Neural Networks in Forecasting US Dollars-Indonesian Rupiah Exchange |
| title_full_unstemmed | Applying Artificial Neural Networks in Forecasting US Dollars-Indonesian Rupiah Exchange |
| title_short | Applying Artificial Neural Networks in Forecasting US Dollars-Indonesian Rupiah Exchange |
| title_sort | applying artificial neural networks in forecasting us dollars indonesian rupiah exchange |
| topic | QA76 Computer software |
| url | http://umpir.ump.edu.my/id/eprint/5188/1/CSIT-2013_Ardiansyah_Soleh.pdf |
| work_keys_str_mv | AT ardiansyahsoleh applyingartificialneuralnetworksinforecastingusdollarsindonesianrupiahexchange AT mazlinaabdulmajid applyingartificialneuralnetworksinforecastingusdollarsindonesianrupiahexchange AT jasnimohamadzain applyingartificialneuralnetworksinforecastingusdollarsindonesianrupiahexchange |