Forex Daily Price Prediction Using Gated Recurrent Unit

Jia You Ong; Kian Ming Lim; Chin Poo Lee; Jit Yan Lim

doi:10.1109/ICSPC59664.2023.10420156

Forex Daily Price Prediction Using Gated Recurrent Unit

Jia You Ong, Kian Ming Lim, Chin Poo Lee, Jit Yan Lim

Research output: Chapter in Book/Conference proceeding › Conference contribution › peer-review

Abstract

The foreign exchange (Forex) market is globally recognized as one of the most prominent financial markets. In this paper, we focus on three major currency pairs: EUR/USD, GBP/USD, and USD/CHF, spanning from January 2007 to July 2022. We employ a range of techniques, including technical indicators, feature scaling, and Gated Recurrent Unit (GRU) network, to predict the closing price one day ahead of the current day. Our method demonstrates superior performance compared to other state-of-the-art approaches, achieving remarkably low Mean Absolute Errors (MAE) of 0.0046, 0.0063, and 0.0039 for the respective currency pairs: EUR/USD, GBP/USD, and USD/CHF.

Original language	English
Title of host publication	2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	72-77
Number of pages	6
ISBN (Electronic)	9798350340860
DOIs	https://doi.org/10.1109/ICSPC59664.2023.10420156
Publication status	Published - 2023
Externally published	Yes
Event	11th IEEE Conference on Systems, Process and Control, ICSPC 2023 - Malacca, Malaysia Duration: 16 Dec 2023 → …

Publication series

Name	2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings

Conference

Conference	11th IEEE Conference on Systems, Process and Control, ICSPC 2023
Country/Territory	Malaysia
City	Malacca
Period	16/12/23 → …

Keywords

Forex price prediction
Gated Recurrent Unit
Recurrent neural networks

ASJC Scopus subject areas

Artificial Intelligence
Computer Science Applications
Information Systems
Information Systems and Management
Safety, Risk, Reliability and Quality
Control and Optimization
Modelling and Simulation
Education

Access to Document

10.1109/ICSPC59664.2023.10420156

Cite this

Ong, J. Y., Lim, K. M., Lee, C. P., & Lim, J. Y. (2023). Forex Daily Price Prediction Using Gated Recurrent Unit. In 2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings (pp. 72-77). (2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ICSPC59664.2023.10420156

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title = "Forex Daily Price Prediction Using Gated Recurrent Unit",

abstract = "The foreign exchange (Forex) market is globally recognized as one of the most prominent financial markets. In this paper, we focus on three major currency pairs: EUR/USD, GBP/USD, and USD/CHF, spanning from January 2007 to July 2022. We employ a range of techniques, including technical indicators, feature scaling, and Gated Recurrent Unit (GRU) network, to predict the closing price one day ahead of the current day. Our method demonstrates superior performance compared to other state-of-the-art approaches, achieving remarkably low Mean Absolute Errors (MAE) of 0.0046, 0.0063, and 0.0039 for the respective currency pairs: EUR/USD, GBP/USD, and USD/CHF.",

keywords = "Forex price prediction, Gated Recurrent Unit, Recurrent neural networks",

author = "Ong, {Jia You} and Lim, {Kian Ming} and Lee, {Chin Poo} and Lim, {Jit Yan}",

note = "Publisher Copyright: {\textcopyright} 2023 IEEE.; 11th IEEE Conference on Systems, Process and Control, ICSPC 2023 ; Conference date: 16-12-2023",

year = "2023",

doi = "10.1109/ICSPC59664.2023.10420156",

language = "English",

series = "2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

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Ong, JY, Lim, KM, Lee, CP & Lim, JY 2023, Forex Daily Price Prediction Using Gated Recurrent Unit. in 2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings. 2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings, Institute of Electrical and Electronics Engineers Inc., pp. 72-77, 11th IEEE Conference on Systems, Process and Control, ICSPC 2023, Malacca, Malaysia, 16/12/23. https://doi.org/10.1109/ICSPC59664.2023.10420156

Forex Daily Price Prediction Using Gated Recurrent Unit. / Ong, Jia You; Lim, Kian Ming; Lee, Chin Poo et al.
2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2023. p. 72-77 (2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings).

Research output: Chapter in Book/Conference proceeding › Conference contribution › peer-review

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Ong JY, Lim KM, Lee CP, Lim JY. Forex Daily Price Prediction Using Gated Recurrent Unit. In 2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings. Institute of Electrical and Electronics Engineers Inc. 2023. p. 72-77. (2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings). doi: 10.1109/ICSPC59664.2023.10420156

Forex Daily Price Prediction Using Gated Recurrent Unit

Abstract

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Keywords

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