Neural fuzzy regression modelling for forecasting

Brodjol S.S. Ulama, Mike Prastuti, Pratnya Paramita Oktaviana

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Recently statistical model especially forecasting model has developed to soft model. The model is more computerize in line to computer development and it is not based on strict rules, such as it has to fulfil classical or soft assumption. The model is called as soft statistical model. By using soft model and soft assumption, there are many models can be constructed, such as Artificial Neural Network (ANN) or Multi Layers Perceptions (MLP). There are three layers in ANN, it is called input, hidden and output layer. The optimum weight of each layer is processed using back propagation approach. In this research, ANN model-especially Neural Fuzzy Regression (NFR) model-is applied to find best forecasting model, specifically forecasting model of the stock price. The data is the stock price of a mining sector emitted and the exchange rate US$ to IDR from January 2015 until February 2019. The Data is collected from publication of Indonesia Stock Exchange and Indonesia Central Bank. The stock price shows positive trends recently and there is a correlation between the stock price and the exchange rate. Based on autocorrelation function, there are four previous data that have significant relationship with the current data. NFR model has five nodes in input layer (four lag time and exchange rate), some nodes in hidden layer and a node in output layer. The best model is model with five nodes as input, seven nodes in hidden layer and an output. The model has accuracy of MSE 34.0850, MAPE 2.9026, and MAD 28.7377.

Original languageEnglish
Title of host publication4th IndoMS International Conference on Mathematics and its Applications, IICMA 2019
EditorsDadam Kusnandar, Yundari Yundari, Evi Noviani
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735420311
DOIs
Publication statusPublished - 15 Sept 2020
Externally publishedYes
Event4th IndoMS International Conference on Mathematics and its Applications, IICMA 2019 - Pontianak, Indonesia
Duration: 23 Sept 201925 Sept 2019

Publication series

NameAIP Conference Proceedings
Volume2268
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference4th IndoMS International Conference on Mathematics and its Applications, IICMA 2019
Country/TerritoryIndonesia
CityPontianak
Period23/09/1925/09/19

Keywords

  • Ann
  • Mining sector
  • Nfr
  • Stock price

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