Artikel ; Online: Predicting LQ45 financial sector indices using RNN-LSTM
Journal of Big Data, Vol 8, Iss 1, Pp 1-
2021 Band 13
Abstract: Abstract As one of the most popular financial market instruments, the stock has formed one of the most massive and complex financial markets in the world. It could handle millions of transactions within a short period of time and highly unpredictable. In ...
Abstract | Abstract As one of the most popular financial market instruments, the stock has formed one of the most massive and complex financial markets in the world. It could handle millions of transactions within a short period of time and highly unpredictable. In this study, we aim to implement a famous Deep Learning method, namely the long short-term memory (LSTM) networks, for the stock price prediction. We limit the stocks to those that are included in the LQ45 financial sectors indices, i.e., BBCA, BBNI, BBRI, BBTN, BMRI, and BTPS. Rather than using too deep network architecture, we propose using a simple three-layer LSTM network architecture to predict the stocks’ closing prices. We found that the prediction results fall in the reasonable forecasting category. Moreover, it is worth noting that two of the considered stocks, namely, BBCA and BMRI, have the lowest MAPE values at 19.1020 and 18.6135, which fall in the good forecasting results. Hence, the proposed LSTM model is most recommended to be used on those two stocks. |
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Schlagwörter | Deep learning ; LQ45 financial sector indices ; LSTM ; Prediction ; Stock market ; Computer engineering. Computer hardware ; TK7885-7895 ; Information technology ; T58.5-58.64 ; Electronic computers. Computer science ; QA75.5-76.95 |
Thema/Rubrik (Code) | 332 |
Sprache | Englisch |
Erscheinungsdatum | 2021-07-01T00:00:00Z |
Verlag | SpringerOpen |
Dokumenttyp | Artikel ; Online |
Datenquelle | BASE - Bielefeld Academic Search Engine (Lebenswissenschaftliche Auswahl) |
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