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All Journal IJCCS (Indonesian Journal of Computing and Cybernetics Systems) Transmisi: Jurnal Ilmiah Teknik Elektro FIKI 2013 Semantik Techno.Com: Jurnal Teknologi Informasi Jurnal Pseudocode International Journal of Advances in Intelligent Informatics Jurnas Nasional Teknologi dan Sistem Informasi Sistemasi: Jurnal Sistem Informasi Sinkron : Jurnal dan Penelitian Teknik Informatika JOURNAL OF APPLIED INFORMATICS AND COMPUTING Abdimasku : Jurnal Pengabdian Masyarakat Jurnal Teknik Informatika (JUTIF) JUSTIN (Jurnal Sistem dan Teknologi Informasi) Moneter : Jurnal Keuangan dan Perbankan Community: Jurnal Pengabdian Pada Masyarakat
Ika Novita Dewi
Universitas Dian Nuswantoro
Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Engineering Health Professions Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Social Sciences Other

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Journal : IJCCS (Indonesian Journal of Computing and Cybernetics Systems)

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Deep Learning Factor Investing in the Indonesian Stock Market Atha Rohmatullah, Fawwaz; Alzami, Farrikh; Rakhmat Sani, Ramadhan; Novita Dewi, Ika; Winarno, Sri; Sulistyono, Teguh
IJCCS (Indonesian Journal of Computing and Cybernetics Systems) Vol 19, No 4 (2025): October
Publisher : IndoCEISS in colaboration with Universitas Gadjah Mada, Indonesia.

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22146/ijccs.112549

Abstract

Traditional linear factor models often fail to capture the complex, non-linear dynamics of emerging stock markets. This research designs and validates a novel Recurrence Plot (RP) matrices with β-VAE deep learning methodology to discover non-linear investment factors within the Indonesian context. We demonstrate that this framework is a systematically superior "factor factory" compared to a linear RP with PCA baseline, discovering twice as many high-quality factors (Sharpe > 0.3) and generating 7-fold more alpha on average. A key finding is the model's ability to disentangle high-frequency predictive signals (identified by SHAP) from more valuable, low-frequency profitable trends (validated by backtesting). The champion factor from this process yields a robust annualized alpha of 6.65% with a minimal max drawdown of -7.73% from 2018 to 2025. This study concludes that the RP -> β -VAE approach is a robust and resilient framework for discovering safer, non-linear sources of return unexplained by conventional models.
Co-Authors Abas Setiawan Abdul Syukur Abdul Syukur Abu Salam Adhitya Nugraha Adriani, Mira Riezky Agung Priyo Utomo, Rino Alzami, Farrikh Ardytha Luthfiarta Arifin, Muhammad Farhan Arry Maulana Syarif, Arry Maulana Asih Rohmani, Asih Atha Rohmatullah, Fawwaz Ayuningsih, Dewi Putri Azhari Azhari Bramantyo, Satrio Bisma Candra Irawan Catur Supriyanto Diana Aqmala Dwi Puji Prabowo, Dwi Puji Dzaki, Azmi Abiyyu Egia Rosi Subhiyakto, Egia Rosi Erwin Yudi Hidayat Erwin Yudi Hidayat Fahri Firdausillah Fajar Agung Nugroho Hafiizhudin, Lutfi Azis Handayani, Sri Haresta, Alif Agsakli Hasan Asari Heribertus Himawan Ifan Rizqa Indrayani, Heni Irawan, Enrico Irvan Muzakkir Irvan Muzakkir Isworo, Slamet Junta Zeniarja Khafiizh Hastuti Khariroh, Shofiyatul Kurniawan, Defri Lisa Mardiana Marjuni, Aris Megantara, Rama Aria Muljono Muljono Mumtaz, Najma Amira Octaviani, Dhita Aulia Priyo Utomo, Rino Agung Puri Sulistiyawati Pusung, Elvanro Marthen Ramadhan Rakhmat Sani Reza, Ivan Muhammad Ricardus Anggi Pramunendar Rifamuthia, Titis Ritzkal, Ritzkal Salsabila, Shafa Saputra, Filmada Ocky Sholikun, Sholikun Sindhu Rakasiwi Sri Winarno Subowo, Moh Hadi Sulistyono, Teguh Syarifah, Ulima Muna Utomo, Danang Wahyu Wellia Shinta Sari Wibowo, Isro' Rizky Yanuaresta, Dianna Zainal Arifin Hasibuan