TY - GEN
T1 - Comparison of Autoregressive Integrated Moving Average (ARIMA) model and Gated Recurrent Unit (GRU) model in predicting stock prices
AU - Nilsen, Andrew
AU - H., Bevina Desjwiandra
AU - Hertono, Gatot Fatwanto
N1 - Publisher Copyright:
© 2022 Author(s).
PY - 2022/3/24
Y1 - 2022/3/24
N2 - Investing in the stock market is not easy, because the stock price always fluctuates. These fluctuations can lead to losses if the prediction is wrong. Therefore, we need a method that can predict the direction of stock movements. This paper presents a comparative study for stock price prediction using Autoregressive Integrated Moving Average (ARIMA) model and Gated Recurrent Unit (GRU) model. For building and testing the models, the historical values of PT Bank Central Asia Tbk (IDX: BBCA) stock closing price and PT Kertas Tjiwi Kimia Tbk (IDX: TKIM) stock closing price for the period 01-January-2015 to 01-January-2020, were used. The result shows that the Gated Recurrent Unit (GRU) model has better accuracy than the Autoregressive Integrated Moving Average (ARIMA) model.
AB - Investing in the stock market is not easy, because the stock price always fluctuates. These fluctuations can lead to losses if the prediction is wrong. Therefore, we need a method that can predict the direction of stock movements. This paper presents a comparative study for stock price prediction using Autoregressive Integrated Moving Average (ARIMA) model and Gated Recurrent Unit (GRU) model. For building and testing the models, the historical values of PT Bank Central Asia Tbk (IDX: BBCA) stock closing price and PT Kertas Tjiwi Kimia Tbk (IDX: TKIM) stock closing price for the period 01-January-2015 to 01-January-2020, were used. The result shows that the Gated Recurrent Unit (GRU) model has better accuracy than the Autoregressive Integrated Moving Average (ARIMA) model.
UR - http://www.scopus.com/inward/record.url?scp=85127972737&partnerID=8YFLogxK
U2 - 10.1063/5.0073838
DO - 10.1063/5.0073838
M3 - Conference contribution
AN - SCOPUS:85127972737
T3 - AIP Conference Proceedings
BT - International Conference on Science and Applied Science, ICSAS 2021
A2 - Purnama, Budi
A2 - Nugraha, Dewanta Arya
A2 - Suparmi, A.
PB - American Institute of Physics Inc.
T2 - 2021 International Conference on Science and Applied Science, ICSAS 2021
Y2 - 6 April 2021 through 6 April 2021
ER -