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All Journal International Journal of Electrical and Computer Engineering Jurnal Informatika JIK Jurnal Ilmu Komputer Jurnal Sistem Komputer BERKALA SAINSTEK Prosiding SNATIKA Vol 01 (2011) Journal of Agromedicine and Medical Sciences INFORMAL: Informatics Journal Jurnal Manajemen Kesehatan Indonesia UNEJ e-Proceeding Proceeding of the Electrical Engineering Computer Science and Informatics Management Analysis Journal JOIV : International Journal on Informatics Visualization International Journal of Artificial Intelligence Research Health Notions Wikrama Parahita : Jurnal Pengabdian Masyarakat Indonesian Journal of Artificial Intelligence and Data Mining BAREKENG: Jurnal Ilmu Matematika dan Terapan CARADDE: Jurnal Pengabdian Kepada Masyarakat SPIRIT Indonesian Journal of Global Health research Journal of Indonesia Road Safety Jurnal Teknik Informatika (JUTIF) Journal of Applied Data Sciences International Journal Of Computer, Network Security and Information System (IJCONSIST) Jurnal Teknik Sumber Daya Air Malcom: Indonesian Journal of Machine Learning and Computer Science Jurnal Pengabdian Pada Masyarakat JGGAG (Journal of Games, Game Art, and Gamification)
Saiful Bukhori
Lecturer, Faculty Of Computer Science, Universitas Jember
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Journal : Jurnal Teknik Informatika (JUTIF)

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GWO-Enhanced Hybrid Deep Learning with SHAP for Explainable TLKM.JK Stock Forecasting Bukhori, Hilmi Aziz; Bukhori, Saiful; Anam, Syaiful; Yusuf, Feby Indriana; Sari, Meylita
Jurnal Teknik Informatika (Jutif) Vol. 6 No. 4 (2025): JUTIF Volume 6, Number 4, Agustus 2025
Publisher : Informatika, Universitas Jenderal Soedirman

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.52436/1.jutif.2025.6.4.5205

Abstract

This study presents an innovative Grey Wolf Optimization (GWO)-enhanced hybrid deep learning model integrating Convolutional Neural Networks (CNN), Bidirectional Long Short-Term Memory (BiLSTM), and Transformer, combined with SHAP for interpretable stock price forecasting of TLKM.JK from July 29, 2024, to July 29, 2025. Addressing non-linear market dynamics, the model evaluates seven experimental cases, with the GWO-optimized configuration (Case 2) achieving superior performance, with a Root Mean Squared Error (RMSE) of 75.23, Mean Absolute Error (MAE) of 58.14, and Directional Accuracy (DA) of 76.2%, surpassing the baseline by 17.4% in RMSE and 8.1% in DA. Notably, Case 2 excels during the April 2025 surge (11.8% increase, MAE 53, DA 82%) and the high-volume day of May 28, 2025 (531,309,500 shares, MAE 48), leveraging Volume (SHAP 0.45) and RSI (0.28) as key predictors. With a 4-hour convergence time on an NVIDIA RTX 3060 GPU, the model ensures computational efficiency and interpretability, making it a robust tool for traders. Despite limitations in single-stock focus and GPU dependency, this framework advances AI-driven financial forecasting by offering transparent, high-accuracy predictions, paving the way for multi-stock applications and real-time SHAP updates.
Co-Authors Ahmad Fauzal Adifia Ahmad Firdaus Ababil Ahmad Firdaus Ababil Al Munawir Anam, M Khairul Ancah Caesarina Novi Marchianti Antonius Cahya Prihandoko Aruchunan, Elayaraja Basbeth, Faishal Bayhaqqi Bayhaqqi Bukhori, Hilmi Aziz Dewi Kholifatul Ummah Dewi Rokhmah Dharmawan, Tio Diah Adistia Diah Adistia A Diah Ayu Retnani Wulandari Fahruddin Arrasyid Alfansuri Faishal Basbeth Feby Indriana Yusuf Feby Sabilhul Hanafi Firman Firman Furqon, Muhammad Ariful FX Ady Soesetijo Gayatri Dwi Santika Gusfan Halik Hairul Anam Hanesya, Arini Farihatul Haryanto, Kurniawan Wahyu Hastungkara, Duhita Husnul Hotimatus s Husnul Hotimatus Sahroh I Ketut Eddy Purnama Iqbal Al Mahdi januar adi putra, januar adi Krisnha Dian Ayuningtyas Lucky Lhaura Van FC, Lucky Lhaura Luh Putu Ratna Sundari Mahamad, Abd Kadir Malik Qilsi, Fatkhur Ruli Markus Apriono Maulana, Avin Maulia Azizah Maulina Azizah Mauridhi Heri Purnomo Mochamad Hariadi Mohammad Ovi Sanjaya Mohammad Zarkasi Muhammad Noor Dwi Eldianto Mustika Rahmasuci Mustika Rahmasuci Nafolion Nur Rahmat, Nafolion Nur Negoro, Wahyu Saptha Nur Kholis Mansur Nuryadi Nuryadi Oktalia Juwita Oktavia, Nelly Puspitarini, Niken Wahyu Putra, Januar Adi PUTRI WULANDARI R., Windi Eka Y. Rebecca La Volla Nyoto Rizqi Alvian, Muhammad Bagus Saon, Sharifah Sari, Meylita Shasha Nur Faadhilah Sonya Sulistyono Sri Hartatik Sri Hernawati Sri Wahyuni Sumijan Sumijan Surmayanti, Surmayanti Syaiful Anam Tio Dharmawan Umroh Makhmudah Vivi Sefrinta Izza Afkarina Wijaya, Angga Ari Wiji Utami Windi Eka Yulia Retnani Yudha Alif Aulia Yudha Alif Auliya Yudhi Tri Gunawan Yunarni, Wiwik