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Stock price forecast of macro-economic factor using recurrent neural network

IAES International Journal of Artificial Intelligence · Vol. 10 No. 1 (2021) · hlm. 74–83

DOI
10.11591/ijai.v10.i1.pp74-83
ISSN
2252-8938, 2089-4872
Terbit
2021-03-01
Penerbit
Institute of Advanced Engineering and Science
Bahasa
eng
Lisensi
creativecommons.org/licenses/by-sa/4.0

Abstrak

The stock market is one of the investment choices that always have traction from time to time. Aside from being a means of corporate funding, investing in the stock market can benefit investors. Investing also has a higher risk because the pattern of stock prices is volatile, which is caused by internal and external factors. One external factor that affects stock prices is the macro-economic, where these factors are events that occur in a country where one of the economic sectors affected is stock prices. Investors often feel confused about the right time in decisions making related to buying or selling stock. One way to look at how the prospect of stock prices is a stock price forecasting activity. For this study, we will be making use of the recurrent neural network (RNN) to forecast stock prices for the next periods. This research involves two variables: the closing stock price and the rupiah exchange rate against the dollar for the daily period. We achieve a MAPE value of 1.546% for RNN model without the variable foreign exchange rate and 1.558% for the RNN model that uses the foreign exchange rate against the dollar.

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  • Institut Teknologi Sepuluh Nopember
  • Islamic University of Indonesia
  • Bandung Institute of Technology
  • Universitas Muhammadiyah Malang
  • Universitas Katolik Widya Mandira
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Rekan penulisOrganisasiArtikel bersama
Wiwik AnggraeniInstitut Teknologi Sepuluh Nopember6
I Gusti Agung PremanandaInstitut Teknologi Sepuluh Nopember5
Mursyidatun NabilahInstitut Teknologi Sepuluh Nopember4
Shof Rijal Ahlan RobbaniInstitut Teknologi Sepuluh Nopember2
Erma SuryaniInstitut Teknologi Sepuluh Nopember1
Habibah Asma'ul HusnaAfiliasi tidak diketahui1
Anang FirdausInstitut Teknologi Sepuluh Nopember1
Vicha Azthanty SupoyoInstitut Teknologi Sepuluh Nopember1
Febriliyan SamopaInstitut Teknologi Sepuluh Nopember1
Radityo Prasetianto WibowoInstitut Teknologi Sepuluh Nopember1
Tresnaning ArifiyahInstitut Teknologi Sepuluh Nopember1
Pujiadi PujiadiAfiliasi tidak diketahui1
Siti Aminatus ZehrohInstitut Teknologi Sepuluh Nopember1
Nur Aini LestariInstitut Teknologi Sepuluh Nopember1
Hendra SetiawanIslamic University of Indonesia1
Alvin SahroniIslamic University of Indonesia1
Hasballah ZakariaBandung Institute of Technology1
Yeyen SudiartiInstitut Teknologi Sepuluh Nopember1
Muhammad Ilham PerdanaUniversitas Muhammadiyah Malang1
Adri Gabriel SooaiUniversitas Katolik Widya Mandira1
Yusnardo TendioInstitut Teknologi Sepuluh Nopember1
Helena Angelita DepariInstitut Teknologi Sepuluh Nopember1
Muhammad Arif NurimanInstitut Teknologi Sepuluh Nopember1

Afiliasi berasal dari OpenAlex; metadata OAI-PMH jurnal tidak memuatnya. Penulis tanpa ID OpenAlex dicocokkan berdasarkan nama, sehingga dua orang bisa tergabung atau satu orang bisa terpisah.

Sumber metadata: OAI-PMH (metadata jurnal) http://ijai.iaescore.com/index.php/IJAI/oai, pertama di-harvest 8 Nov 2026, terakhir terlihat 8 Nov 2026.
Metadata asli (oai_dc) 
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	<dc:title xml:lang="en-US">Stock price forecast of macro-economic factor using recurrent neural network</dc:title>
	<dc:creator>Reza Pahlawan, M.</dc:creator>
	<dc:creator>Riksakomara, Edwin</dc:creator>
	<dc:creator>Tyasnurita, Raras</dc:creator>
	<dc:creator>Muklason, Ahmad</dc:creator>
	<dc:creator>Mahananto, Faizal</dc:creator>
	<dc:creator>A. Vinarti, Retno</dc:creator>
	<dc:subject xml:lang="en-US"></dc:subject>
	<dc:subject xml:lang="en-US">Exchange rate; Recurrent neural network; Stock forecast</dc:subject>
	<dc:description xml:lang="en-US">The stock market is one of the investment choices that always have traction from time to time. Aside from being a means of corporate funding, investing in the stock market can benefit investors. Investing also has a higher risk because the pattern of stock prices is volatile, which is caused by internal and external factors. One external factor that affects stock prices is the macro-economic, where these factors are events that occur in a country where one of the economic sectors affected is stock prices. Investors often feel confused about the right time in decisions making related to buying or selling stock. One way to look at how the prospect of stock prices is a stock price forecasting activity. For this study, we will be making use of the recurrent neural network (RNN) to forecast stock prices for the next periods. This research involves two variables: the closing stock price and the rupiah exchange rate against the dollar for the daily period. We achieve a MAPE value of 1.546% for RNN model without the variable foreign exchange rate and 1.558% for the RNN model that uses the foreign exchange rate against the dollar.</dc:description>
	<dc:publisher xml:lang="en-US">Institute of Advanced Engineering and Science</dc:publisher>
	<dc:contributor xml:lang="en-US"></dc:contributor>
	<dc:date>2021-03-01</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US"></dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://ijai.iaescore.com/index.php/IJAI/article/view/20722</dc:identifier>
	<dc:identifier>10.11591/ijai.v10.i1.pp74-83</dc:identifier>
	<dc:source xml:lang="en-US">IAES International Journal of Artificial Intelligence (IJ-AI); Vol 10, No 1: March 2021; 74-83</dc:source>
	<dc:source>2252-8938</dc:source>
	<dc:source>2089-4872</dc:source>
	<dc:source>10.11591/ijai.v10.i1</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://ijai.iaescore.com/index.php/IJAI/article/view/20722/13063</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2020 Institute of Advanced Engineering and Science</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
</oai_dc:dc>