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All Journal Jurnal Ilmiah Teknik Elektro Komputer dan Informatika (JITEKI) Journal of ICT Research and Applications Jurnal Edukasi dan Penelitian Informatika (JEPIN) JUITA : Jurnal Informatika Indonesian Journal on Computing (Indo-JC) IJoICT (International Journal on Information and Communication Technology) Sistemasi: Jurnal Sistem Informasi Jurnal Teknologi dan Sistem Komputer JETT (Jurnal Elektro dan Telekomunikasi Terapan) Jurnal RESTI (Rekayasa Sistem dan Teknologi Informasi) SMARTICS Journal Kinetik: Game Technology, Information System, Computer Network, Computing, Electronics, and Control JITK (Jurnal Ilmu Pengetahuan dan Komputer) Indonesian Journal of Electrical Engineering and Computer Science Journal of Information Technology and Its Utilization eProceedings of Engineering Jurnal INFOTEL
Aji Gautama Putrada
Universitas Telkom
Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Education Electrical & Electronics Engineering Energy Engineering Industrial & Manufacturing Engineering Mechanical Engineering

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Journal : JITK (Jurnal Ilmu Pengetahuan dan Komputer)

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TICKER SYMBOL IDENTIFICATION WITH CIMA ON NON-STATIONARY STOCK PRICE DATASET Aji Gautama Putrada; Maman Abdurohman; Doan Perdana; Hilal Hudan Nuha
JITK (Jurnal Ilmu Pengetahuan dan Teknologi Komputer) Vol 10 No 1 (2024): JITK Issue August 2024
Publisher : LPPM Nusa Mandiri

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33480/jitk.v10i1.5349

Abstract

Ticker symbol identification based on stock price data in investor decisions has been proven to be pivotal. Though research exists on stock price forecasting, ticker symbol identification is still a research opportunity. Meanwhile, some temporal-sequential classification methods are available, such as classification-integrated moving average (CIMA) and recurrent neural network (RNN)-based deep learning such as long short-term memory (LSTM), and gated recurrent unit (GRU). Our research aim is to prove that CIMA can perform ticker symbol identification on non-stationary stock price datasets. This research collects ten most well-known stock price dataset from Kaggle and performs pre-processing. Then it designs CIMA with non-stationary data and the benchmark deep learning methods. Both methods are optimized with hyperparameter tuning and model selection between adaptive boosting (AdaBoost) and legacy k-nearest neighbors (KNN). The test results show five non-stationary features in the stock price dataset must go through a differentiation process. Then, AdaBoost has an accuracy of 0.9967 ± 0.001, while KNN has an accuracy of 0.9971 ± 0.001, with no significant difference based on t-test. Meanwhile, AdaBoost has a significantly smaller model size and testing and prediction time than KNN. In benchmarking, CIMA+AdaBoost is superior to the three other methods for accuracy, precision, recall, and f1-score, all of which have a value of 0.996. Our research contribution is ticker symbol identification based on stock price using CIMA on multiple-class sequential classification with non-stationary data. For future research, we advice to perform this method on other stock price data.
Co-Authors Abdillah, Hilal Nabil Abiyan Bagus Baskoro Adrian Gusti Nurcahyo Agita Rachmad Muzakhir Algi Fajardi Alieja Muhammad Putrada Andrian Rakhmatsyah Angga Anjaini Sundawa Anita Auliani Argo Surya Adi Dewantoro Aziz Nurul Iman Baginda Achmad Fadillah Bambang Setia Nugroho Bayu Kusuma Belva Rabbani Driantama Bramantio Agung Prabowo Calvin M.T Manurung Catur Wirawan W Catur Wirawan Wijiutomo Daniel Arga Amallo Dicky Prasetiyo Dita Oktaria Doan Perdana Dodi W. Sudiharto Dodi Wisaksono Sudiharto Dody Qori Utama Endro Ariyanto Erwid Musthofa Jadied Fachrial Akbar Fadhlillah Fadhlillah Fadhlurahman Irwan Fairus Zuhair Azizy Atoir Fakhri Akbar Pratama Farisah Adilia Fauzan Ramadhan Sudarmawan Fazmah Arif Yulianto Febri Dawani Febrina Puspita Utari Fitra Ilham Gabe Dimas Wicaksana Gentur Cipto Tri Atmaja Hamman Aryo Bimmo Hanifa Zahra Dhiah Hilal Hudan Nuha Hirianinda Malsegianty S Ikbar Mahesa Ikke Dian Oktaviani Ikke Dian Oktaviani Ikrimah Muiz Ilham Fadli Surbakti Imas Nur Tiarani Irfan Dwi Wijaya Irfan Nugraha Januar Triandy Nur Elsan Krisna Kristiandi Hartono Kurnia Wisuda Aji Mahmud Imroba Maman Abdurohman Maman Abdurrahman Mar Ayu Fotina Mas'ud Adhi Saputra Maya Ameliasari Mohamad Nurkamal Fauzan Mohamad Nurkamal Fauzan Muhamad Nurkamal Fauzan Muhammad Al Makky Muhammad Alkahfi Khuzaimy Abdullah Muhammad Dafa Prima Aji Muhammad Fahmi Nur Fajri Muhammad Ihsan Muhammad Kukuh Alif Lyano Muhammad Shibgah Aulia Muhammad Syiarul Amrullah Muhhamad Affan Hasby Muhtadu Syukur A Mulia Hanif Nando, Parlin Nando, Parlin Niken Cahyani Novian Anggis Suwastika NUR ALAMSYAH Nur Alamsyah Nur Ghaniaviyanto Ramadhan Pahlevi, Rizka Reza Pamungkas, Rizaldi Ramdlani Parman Sukarno Putrada, Alieja Muhammad Putri Azanny Raden Muhamad Yuda Pradana Kusumah Rafie Afif Andika Rahmat Suryoputro Randy Agustyo Raharjo Reynaldo Lino Haposan Pakpahan Rizki Jamilah Guci Seli Suhesti Sena Amarta Sidik Prabowo Siti Amatullah Karimah Subkhan Ibnu Aji Sulthan Kharisma Akmal Syafrial Fachri Pane Syafwan Almadani Azra Taufik Suyanto Vera Suryani Wanda Firdaus Yahya Ermaya Yasirandi, Rahmat Yuda Prasetia Zidni Fahmi Suryandaru