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On the Approximation Capabilities of Deep Neural Networks for Multivariate Time Series Modeling Jamhuri, Mohammad; Irawan, Mohammad Isa; Kusumastuti, Ari; Mondal, Kartick Chandra; Juhari, Juhari
CAUCHY: Jurnal Matematika Murni dan Aplikasi Vol 10, No 2 (2025): CAUCHY: JURNAL MATEMATIKA MURNI DAN APLIKASI
Publisher : Mathematics Department, Universitas Islam Negeri Maulana Malik Ibrahim Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.18860/cauchy.v10i2.32760

Abstract

Multivariate time series forecasting plays a crucial role in various domains, including finance, where accurate stock price prediction supports strategic decision-making. Traditional methods such as Autoregressive Integrated Moving Average (ARIMA), Exponential Smoothing (ETS), and Vector Autoregression (VAR) often fall short when dealing with complex, non-linear data—particularly those exhibiting long-term temporal dependencies. This study evaluates deep learning approaches, namely Multilayer Perceptron (MLP), Convolutional Neural Networks (CNN), and Long Short-Term Memory (LSTM), using daily AAPL stock price data from January 2020 to November 2024. The results show that the MLP model with a 10-day time window achieves the best accuracy, yielding lower values in Mean Absolute Error (MAE), Root Mean Squared Error (RMSE), and Mean Absolute Percentage Error (MAPE) compared to CNN, LSTM, and VAR. The findings suggest that MLP is particularly effective in capturing complex patterns in multivariate time series forecasting.
Co-Authors - Afrizal A Rosa, Ramadani Abdul Aziz Abdul Rachim Adi Susilo Aditya, M. Ircham Adriani, Nurita Agung Teguh Wibowo Almais Agus Naba ahmad yani Akbar, Rizqi Ardika Akhadah, Sisilia Firda Laila Alghar, Muhammad Zia Alianda W, Najwa Andrean, Mohamad Febry Angraini, Deffy Ari Kusumastuti Deli, Deli Dicky Wahyudi Dilla, Diva Fara DWI ANDREAS SANTOSA Dwi N, M. Zaky Erna Herawati, Erna Erny Octafiatiningsih, Erny Evawati Alisah Fajrin, Rahma Annisa Fatin Dzahabiy, Amirah Salsabila Syahirah Fauzi Fauzi Fibrianto, Ary Fikrina, Zulfa Akfi Gunawan, Arifin Faqih Hairur Rahman Hakim , Zainal Hamdan Hamdan Hasanah, Sofiatul Hasanuddin Hasanuddin Hidayati, Ummunisa Holanda, Sella Husna, Faridatul Imam Sujarwo Iskandar Iskandar Karinina, Olivia Khoirunnisa, Varikah Kiswari, Dianing Kurnia, Silvi Kurniawan, Rony Setyo Lestari, Wahyu Tri Mahmuddin Mahmuddin Makrus, Mohamad Marzuki, Ahmed Syarief Masri, Desi Meyliana, Ester Moechammad Sarosa Mohammad Isa Irawan Mohammad Jamhuri Mohammad Nafie Jauhari Mondal, Kartick Chandra Muhammad Khudzaifah Muis, Muhammad Abdul Mulyadi Mulyadi Nasichuddin, Achmad Nasir, Yusran Noor, Raden Ajeng Alycia Putri Nur’azkia R, Nazwa Oktavirgianti, Alifah Permata, Hendrik Widya Pranata, Farahnas Imaniyah Pratiwi, Alfrista Anggraini Puji Wianto, Wildan Faried Anshoriy Putri, Inanda Rachmawati, Mila Rahmadhani, Anis Putri Rasyidah, Jihan Fikri Reza, M. Aulia Ria Dhea Layla Nur Karisma Rika Dina Amalia, Dina Amalia Rossi Maunofa Widayat RR. Ella Evrita Hestiandari Safitri, Alisa Ayu Said Amirulkamar Sapira, Bella Sari, Fitri Nofita shidieq, faris majdie Sofia, Wise Ahmad Sri Harini Sugianto, Efendi Suhardi Suhardi Sukroni, Achmad Faiz Susanto, Ady Susanto, Deki Syafi'ah, Nurus Taufik Iskandar Triyono, Gandung Tunggal Saputra, Tri Aji Turmudi Ulung Pribadi, Ulung Ulya, Diah Mariatul Usman Pagalay Utami, Febry Noorfitriana Wahyuni, Diah Maghfiroh Wan, Tjik Yuliana, Rossima Eva Yuri Is, Manaf Zakaria, Nor Balkish Zakariya, Husni Zufriady, Zufriady