TY - GEN
T1 - Forex Daily Price Prediction Using Gated Recurrent Unit
AU - Ong, Jia You
AU - Lim, Kian Ming
AU - Lee, Chin Poo
AU - Lim, Jit Yan
N1 - Publisher Copyright:
© 2023 IEEE.
PY - 2023
Y1 - 2023
N2 - 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.
AB - 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.
KW - Forex price prediction
KW - Gated Recurrent Unit
KW - Recurrent neural networks
UR - http://www.scopus.com/inward/record.url?scp=85186644641&partnerID=8YFLogxK
U2 - 10.1109/ICSPC59664.2023.10420156
DO - 10.1109/ICSPC59664.2023.10420156
M3 - Conference contribution
AN - SCOPUS:85186644641
T3 - 2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings
SP - 72
EP - 77
BT - 2023 IEEE 11th Conference on Systems, Process and Control, ICSPC 2023 - Proceedings
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 11th IEEE Conference on Systems, Process and Control, ICSPC 2023
Y2 - 16 December 2023
ER -