Currency movement forecasting using time series analysis and long short-term memory

Authors

  • Kristina Sanjaya Putri Department of Industrial Engineering, Universitas Kristen Petra, Surabaya
  • Siana Halim Department of Industrial Engineering, Universitas Kristen Petra, Surabaya

DOI:

https://doi.org/10.12928/ijio.v1i2.2490

Keywords:

Foreign exchange, Forecasting, LSTM, ARIMA

Abstract

Foreign exchange is one type of investment, which its goal is to minimize losses that could occur. Forecasting is a technique to minimize losses when investing. The purpose of this study is to make foreign exchange predictions using a time series analysis called Auto-Regressive Integrated Moving Average (ARIMA) and Long Short-term memory methods. This study uses the daily EUR / USD exchange rates from 2014 to March 2020. The data are used as the model to predict the value of the foreign exchange market in April 2020. The model obtained will be used for predictions in April 2020, where the RMSE values obtained from time series analysis (ARIMA) with a window size of 100 days and LSTM sequentially as follows 0.00527 and 0.00509. LSTM produces lower RMSE values than ARIMA. LSTM has better prediction results; this is because the LSTM has the ability to learn so that it can utilize a large amount of data while ARIMA cannot use it. ARIMA does not have the ability to learn even though given a large amount of data it gives poor forecasting results. The ARIMA prediction is the same as the values of the previous day.

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Published

2020-08-21

How to Cite

Putri, K. S., & Halim, S. (2020). Currency movement forecasting using time series analysis and long short-term memory. International Journal of Industrial Optimization, 1(2), 71–80. https://doi.org/10.12928/ijio.v1i2.2490

Issue

Vol. 1 No. 2 (2020)

Section

Articles

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