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 |
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| Title of host publication | 2023 IEEE 11th Conference on Systems, Process & Control (ICSPC) - Conference Proceedings |
| Editors | Ramli Adnan |
| Place of Publication | Piscataway NJ USA |
| Publisher | IEEE, Institute of Electrical and Electronics Engineers |
| Pages | 72-77 |
| Number of pages | 6 |
| ISBN (Electronic) | 9798350340860, 9798350340853 |
| ISBN (Print) | 9798350340877 |
| DOIs | |
| Publication status | Published - 2023 |
| Externally published | Yes |
| Event | IEEE Conference on Systems, Process and Control (ICSPC) 2023 - Hatten Hotel, Malacca, Malaysia Duration: 16 Dec 2023 → 16 Dec 2023 Conference number: 11th https://ieeexplore.ieee.org/xpl/conhome/10419865/proceeding (Published proceedings) https://sites.google.com/view/icspc/home (Website) |
Conference
| Conference | IEEE Conference on Systems, Process and Control (ICSPC) 2023 |
|---|---|
| Abbreviated title | ICSPC 2023 |
| Country/Territory | Malaysia |
| City | Malacca |
| Period | 16/12/23 → 16/12/23 |
| Internet address |
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Keywords
- Forex price prediction
- Gated Recurrent Unit
- Recurrent neural networks