Implementation of recurrent neural network for the forecasting of USD buy rate against IDR

Lady Silk Moonlight (Politeknik Penerbangan Surabaya)
Bambang Riyanto Trilaksono (Bandung Institute of Technology)
Bambang Bagus Harianto (Politeknik Penerbangan Surabaya)
Fiqqih Faizah (Politeknik Penerbangan Surabaya)

International Journal of Electrical and Computer Engineering
Vol 13, No 4: August 2023

This study implements a recurrent neural network (RNN) by comparing two RNN network structures, namely Elman and Jordan using the backpropagation through time (BPTT) programming algorithm in the training and forecasting process in foreign exchange forecasting cases. The activation functions used are the linear transfer function, the tan-sigmoid transfer function (Tansig), and the log-sigmoid transfer function (Logsig), which are applied to the hidden and output layers. The application of the activation function results in the log-sigmoid transfer function being the most appropriate activation function for the hidden layer, while the linear transfer function is the most appropriate activation function for the output layer. Based on the results of training and forecasting the USD against IDR currency, the Elman BPTT method is better than the Jordan BPTT method, with the best iteration being the 4000th iteration for both. The lowest root mean square error (RMSE) values for training and forecasting produced by Elman BPTT were 0.073477 and 122.15 the following day, while the Jordan backpropagation RNN method yielded 0.130317 and 222.96 also the following day.