Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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PREDICTION OF U.S. GOLD FUTURES PRICES USING WAVELET ANALYSIS; A STUDY ON DEEP LEARNING MODELS

  • LEE, Donghui (Department of Mathematics, Pusan National University) ;
  • KIM, Donghyun (Department of Mathematics, Pusan National University) ;
  • YOON, Ji-Hun (Department of Mathematics, Pusan National University)
  • Received : 2020.08.22
  • Accepted : 2020.11.29
  • Published : 2021.01.30
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Abstract

This study attempts to predict the price of gold futures, a real financial product, using ARIMA and LSTM. The wavelet analysis was applied to the data to predict the price of gold futures through LSTM and ARIMA. As results, it is confirmed that the prediction performance of the existing model of predict was improved. the case of predict of price of gold futures, we confirmed that the use of a deep learning model that is not affected by the non-stationary series data is suitable and the possibility of improving the accuracy of prediction through wavelet analysis.

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