Comparison of LSTM and Transformer for Time Series Data Forecasting

Time series data is data that is collected periodically and has certain time intervals. Time series data is widely available in the fields of finance, meteorology, signal processing, health, and economics. Weather data, stock prices, and sales data are examples of time series data. Time series data analysis can be used to predict future conditions based on patterns and values from previous data through a forecasting process. These forecasting results are useful for identifying trends and data patterns for decision making. The rapid development of deep learning models can now be used as a method for forecasting time series data. Deep learning models that are suitable for forecasting include sequence-to-sequence models such as Recurrent Neural Network (RNN), Long Short-Term Memory (LSTM) and Transformer. LSTM and Transformer are sequence-to-sequence models that are widely used for forecasting time series data. Research to compare the accuracy of the two models is still very limited. This article will discuss the use of the LSTM and Transformer models for the time series data forecasting process using Hewlett Packard stock price data from 1962 to 2022. The accuracy results show that the LSTM model outperforms the Transformer model in forecasting Hewlett Packard stock prices.