How can we predict transportation stock prices using artificial intelligence? Findings from experiments with Long Short-Term Memory based algorithms

Kristiyanti, Dinar Ajeng and Pramudya, Willibrordus Bayu Nova and Sanjaya, Samuel Ady (2024) How can we predict transportation stock prices using artificial intelligence? Findings from experiments with Long Short-Term Memory based algorithms. International Journal of Information Management Data Insights, 4 (2). pp. 1-17. ISSN 26670968

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Abstract

Inflation growth in Indonesia and other countries impacts the currency value and investors’ purchasing power, particularly in the transportation sector. This research explores the impact of inflation growth in Indonesia and comparable nations on currency valuation and the purchasing power of investors, with a focus on the trans- portation sector. Data collection was carried out from April to October 2023 by scraping stock data from several transportation stocks such as: AKSI.JK, CMPP.JK, SAFE.JK, SMDR.JK, TMAS.JK, and WEHA. The research pri- marily aims to forecast stock prices in Indonesia’s transportation sector, utilizing data mining techniques within the Cross Industry Standard Process for Data Mining (CRISP-DM) framework, which includes stages such as business understanding, data preparation, modeling, evaluation, and deployment. It employs the Long Short- Term Memory (LSTM) algorithm, assessing different hyperparameter activation functions (linear, ReLU, sig- moid, tanh) and optimizers (ADAM, ADAGRAD, NADAM, RMSPROP, ADADELTA, SGD, ADAMAX) to refine prediction accuracy. Findings demonstrate the ReLU activation function and ADAM optimizer’s effectiveness, highlighted by evaluation metrics such as Mean Absolute Error (MAE) of 0.0092918, Mean Absolute Percentage Error (MAPE) of 0.06422, and R-Squared of 96 %. The study notably identifies significant growth in Temas (TMAS.JK) stock from April to October 2023, surpassing other sector stocks. Additionally, a web-based appli- cation for predicting transportation stock prices has been developed, facilitating user inputs like ticker, activation-optimizer choice, and date range.

Item Type:	Article
Keywords:	Activation Long short-term memory Optimizer Prediction Transportation stock
Subjects:	000 Computer Science, Information and General Works > 000 Computer Science, Knowledge and Systems > 005 Computer Programming > 005.2 Programming for Specific Computers, Algorithm, HTML, PHP, java, C++ 000 Computer Science, Information and General Works > 000 Computer Science, Knowledge and Systems > 006 Special Computer Methods > 006.3 Artificial Intelligence, Machine Learning, Pattern Recognition, Data Mining
Divisions:	Faculty of Engineering & Informatics > Information System
Depositing User:	Administrator UMN Library
Date Deposited:	29 Nov 2024 04:29
Last Modified:	29 Nov 2024 04:29
URI:	https://kc.umn.ac.id/id/eprint/35186

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