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All Journal Jurnal RESTI (Rekayasa Sistem dan Teknologi Informasi) Emerging Science Journal Ecosains
Harya Widiputra
Perbanas Institute
Computer Science & IT Economics, Econometrics & Finance Engineering Environmental Science

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Journal : Jurnal RESTI (Rekayasa Sistem dan Teknologi Informasi)

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Prediksi Indeks BEI dengan Ensemble Convolutional Neural Network dan Long Short-Term Memory Harya Widiputra; Adele Mailangkay; Elliana Gautama
Jurnal RESTI (Rekayasa Sistem dan Teknologi Informasi) Vol 5 No 3 (2021): Juni 2021
Publisher : Ikatan Ahli Informatika Indonesia (IAII)

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (673.534 KB) | DOI: 10.29207/resti.v5i3.3111

Abstract

The Indonesian Stock Exchange (IDX) stock market index is one of the main indicators commonly used as a reference for national economic conditions. The value of the stock market index is often being used by investment companies and individual investors to help making investment decisions. Therefore, the ability to predict the stock market index value is a critical need. In the fields of statistics and probability theory as well as machine learning, various methods have been developed to predict the value of the stock market index with a good accuracy. However, previous research results have found that no one method is superior to other methods. This study proposes an ensemble model based on deep learning architecture, namely Convolutional Neural Network (CNN) and Long Short-Term Memory (LSTM), called the CNN-LSTM. To be able to predict financial time series data, CNN-LSTM takes feature from CNN for extraction of important features from time series data, which are then integrated with LSTM feature that is reliable in processing time series data. Results of experiments on the proposed CNN-LSTM model confirm that the hybrid model effectively provides better predictive accuracy than the stand-alone time series data forecasting models, such as CNN and LSTM.
Co-Authors Bekman Siagian Dyah N Taurusianingsih Elliana Gautama Endang Swasthika Mailangkay, Adele B. L.