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

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...

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Main Authors: Ardiansyah, Soleh, Mazlina, Abdul Majid, Jasni, Mohamad Zain
Format: Conference or Workshop Item
Language:English
Published: 2013
Subjects:
QA76 Computer software
Online Access:http://umpir.ump.edu.my/id/eprint/5188/
http://umpir.ump.edu.my/id/eprint/5188/1/CSIT-2013_Ardiansyah_Soleh.pdf
id ump-5188
recordtype eprints
spelling ump-51882018-05-21T01:52:45Z 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..
repository_type Digital Repository
institution_category Local University
institution Universiti Malaysia Pahang
building UMP Institutional Repository
collection Online Access
language English
topic QA76 Computer software
spellingShingle QA76 Computer software
Ardiansyah, Soleh
Mazlina, Abdul Majid
Jasni, Mohamad Zain
Applying Artificial Neural Networks in Forecasting US Dollars-Indonesian Rupiah Exchange
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.
format Conference or Workshop Item
author Ardiansyah, Soleh
Mazlina, Abdul Majid
Jasni, Mohamad Zain
author_facet Ardiansyah, Soleh
Mazlina, Abdul Majid
Jasni, Mohamad Zain
author_sort Ardiansyah, Soleh
title 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_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_sort applying artificial neural networks in forecasting us dollars-indonesian rupiah exchange
publishDate 2013
url http://umpir.ump.edu.my/id/eprint/5188/
http://umpir.ump.edu.my/id/eprint/5188/1/CSIT-2013_Ardiansyah_Soleh.pdf
first_indexed 2023-09-18T22:00:26Z
last_indexed 2023-09-18T22:00:26Z
_version_ 1777414361429573632

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