Performance evaluation of stock price prediction models using EMAGRU

• Autorzy: Erizal Erizal , Diqi Mohammad

Identyfikatory

DOI

10.35784/acs-2023-30

• Języki publikacji: EN

Abstrakty

EN

Stock price prediction is an exciting issue and is very much needed by investors and business people to develop their assets. The main difficulties in predicting stock prices are dynamic movements, high volatility, and noises caused by company performance and external influences. The traditional method investors use is the technical analysis based on statistics, valuation of previous stock portfolios, and news from the mass media and social media. Deep learning can predict stock price movements more accurately than traditional methods. As a solution to the issue of stock prediction, the authors offer the Exponential Moving Average Gated Recurrent Unit (EMAGRU) model and demonstrate its utility. The EMAGRU architecture contains two stacked GRUs arranged in parallel. The inputs and outputs are the EMA10 and EMA20, formed from the closing prices over ten years. The authors also combine the AntiReLU and ReLU activation functions into the model so that EMAGRU has 6 model variants. The proposed model produces low losses and high accuracy. RMSE, MEPA, MAE, and R^2 are 0.0060, 0.0064, 0.0050, and 0.9976 for EMA10, and 0.0050, 0.0058, 0.0045, and 0.9982 for EMA20, respectively.

Słowa kluczowe

EN

stock prediction; deep learning; GRU; EMA; ReLU; AntiReLU

• Wydawca: Polskie Towarzystwo Promocji Wiedzy ; Lublin University of Technology
• Czasopismo: Applied Computer Science
• Rocznik: 2023
• Tom: Vol. 19, no 3
• Strony: 160--173
• Opis fizyczny: Bibliogr. 31 poz., fig., tab.

Twórcy

autor

Erizal Erizal

• Universitas Respati Yogyakarta, Faculty of Science and Technology, Department of Information System, Indonesia

• https://orcid.org/0000-0002-3937-3483

autor

Diqi Mohammad

• Universitas Respati Yogyakarta, Faculty of Science and Technology, Department of Informatics, Indonesia

• https://orcid.org/0000-0002-9012-9080

Bibliografia

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