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Iqbal Kharisudin

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Author-ID : 298167

Religion Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Earth & Planetary Sciences Economics, Econometrics & Finance Education Energy Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Mathematics Mechanical Engineering Physics Social Sciences Transportation Other

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Bayesian Optimization for Stock Price Prediction Using LSTM, GRU, Hybrid LSTM-GRU, and Hybrid GRU-LSTM Utami, Mira Dwi; Kharisudin, Iqbal
Unnes Journal of Mathematics Vol. 13 No. 2 (2024): Unnes Journal of Mathematics Volume 2, 2024
Publisher : Universitas Negeri Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/ujm.v13i2.11253

Stocks have high price fluctuations, which include high risks and high potential returns for investors. This high potential return has attracted significant interest from investors. This study proposes the use of Bayesian optimization methods with Gaussian Process (GP), Random Forest (RF), Extra Trees (ET), and Gradient Boosted Regression Trees (GBRT) surrogate models to enhance the accuracy of stock price predictions using Long Short-Term Memory (LSTM), Gated Recurrent Unit (GRU), and hybrid models (LSTM-GRU and GRU-LSTM). This study tests the effectiveness of various combinations of hyperparameters optimized using the Bayesian optimization method. The model optimized with the Bayesian approach and the GP surrogate model demonstrates superior results compared to the others. Evaluation is conducted using Mean Square Error (MSE), Root Mean Square Error (RMSE), Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE), and R-squared (R2) metrics. The results indicate that Bayesian optimization with the GP surrogate model for the GRU-LSTM hybrid model outperforms all other methods in terms of MSE, RMSE, MAE, MAPE, and R2. These findings provide significant contributions to parameter selection for stock price prediction and demonstrate the great potential of using Bayesian optimization methods to improve the accuracy of prediction models.

Stacking Ensemble Modeling of Bidirectional LSTM and Bidirectional GRU for Air Temperature Prediction in Ngawi Nike Yustina Oktaviani; Iqbal Kharisudin
Unnes Journal of Mathematics Vol. 13 No. 2 (2024): Unnes Journal of Mathematics Volume 2, 2024
Publisher : Universitas Negeri Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/ujm.v13i2.11518

Artificial Neural Networks (ANN) have rapidly developed and are used in forecasting, classification, and regression by mimicking how the human brain processes data. Recurrent Neural Networks (RNN), such as Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU), are effective in processing sequential data and handling long-term dependencies. Bidirectional LSTM (BiLSTM) and Bidirectional GRU (BiGRU) process data in both directions to enhance accuracy. This study evaluates the implementation of the Stacking Ensemble method using BiLSTM and BiGRU as base learners and Random Forest as the meta learner to predict air temperature in Ngawi Regency. Air temperature prediction is crucial as it affects agriculture, health, and energy sectors. The data used comprises 2282 records from January 1, 2028, to March 31, 2024, processed using Google Colab. The results show that the Stacking BiLSTM-BiGRU model with Random Forest provides the best performance with a Mean Squared Error of 0.0005, Root Mean Squared Error of 0.0233, Mean Absolute Error of 0.0179, and R-squared of 0.9832, outperforming other individual models. This study confirms that the Stacking Ensemble method with BiLSTM and BiGRU significantly improves air temperature prediction accuracy.

Implementation of Auto ARIMA, PSO-LSTM, and PSO-GRU for Time Series Modeling of 3 Telecommunication Company Stock Prices LQ45 Index Astutiningtyas, Luthfiyah; Kharisudin, Iqbal
Unnes Journal of Mathematics Vol. 13 No. 1 (2024): Unnes Journal of Mathematics Volume 1, 2024
Publisher : Universitas Negeri Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/ujm.v13i1.11939

The Indonesia Stock Exchange (IDX) issues stock indices to make it easier for investors to choose company shares such as the LQ45 Index. This study focuses on forecasting the share prices of 3 telecommunications companies listed in the LQ45 Index, namely PT Telkom Indonesia Tbk with the stock code TLKM, PT Tower Bersama Infrastructure Tbk with the stock code TBIG and PT Sarana Menara Nusantara Tbk with the stock code TOWR in the future. The algorithms used for forecasting are Auto ARIMA, LSTM and GRU algorithms. In addition, the PSO method is used to find the optimal hyperparameters in the LSTM and GRU algorithms. The results of this study show that the GRU model has the best performance and produces the best model evaluation value compared to other models on TLKM and TBIG stock data, while on TOWR stock data the LSTM model is the best model. The GRU model on TLKM data results in an R Square value of 0,961, RMSE 122,291 on training data and MAPE 3,027% and an R Square value of 0,859, RMSE 114,703 and 2,109% on testing data. On TBIG data, the GRU model results in an R Square value of 0,984, RMSE 71,945 and MAPE 4,206% on training data and R Square an value of 0,967, RMSE 73,627 and 2,165% on testing data. The LSTM model on TOWR data results in an R Square value of 0,943, RMSE 43,824 and MAPE 4,274% on training data and an R Square value of 0,796, RMSE 42,597 and 3,117% on testing data.

Time Series Modeling of Stock Price Using CNN-BiLSTM with Attention Mechanism Nur Fitrianingsih, Riska; Kharisudin, Iqbal
Unnes Journal of Mathematics Vol. 13 No. 1 (2024): Unnes Journal of Mathematics Volume 1, 2024
Publisher : Universitas Negeri Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/ujm.v13i1.13451

Indonesia's capital market has experienced rapid development in recent years, marked by an increase in transaction value, the number of investors, and market capitalization. One of the sectors that has garnered attention is the telecommunications industry, which is rapidly growing alongside the increasing number of internet users and the public's demand for more advanced telecommunications services. PT Indosat Ooredoo Hutchison, as one of the leading telecommunications companies in Indonesia, has become an attractive investment choice for investors. However, the stock market is known for its fluctuating and irregular nature. Stock data has complex characteristics such as large data volume, ambiguous information, and non-linearity. Therefore, it is important for investors to understand stock price movements before making investments in order to reduce the risk of significant losses. One method that can be used to address that risk is by forecasting stock prices. Time series forecasting is a prediction about future values based on historical data. Statistical methods in forecasting allow for the identification of patterns and trends in historical data, as well as modeling the relationships between variables over time. One of the techniques that is becoming increasingly popular in forecasting is deep learning. In this study, a combination of \textit{Convolutional Neural Network} (CNN) and \textit{Bidirectional Long Short-Term Memory} (BiLSTM) with an attention mechanism is used. CNN excels at extracting data features, while BiLSTM is better at handling data with long time ranges. The addition of the attention mechanism allows the model to assign different weights to data features, enabling it to focus on the most relevant information. The combination of these three elements (CNN-BiLSTM with an attention mechanism) has the potential to yield higher prediction accuracy. To measure the accuracy of the forecasts, this study uses evaluation metrics such as Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE), Root Mean Squared Error (RMSE), and R-squared (R²). The research results indicate that the CNN-BiLSTM model with an attention mechanism has proven to be the most superior model compared to other models in forecasting the stock price of PT Indosat Ooredoo Hutchison.

Co-Authors achilla, Silky Achmad, Fariz Adi Nur Cahyono Akbar, Mohammad Jefrie Ilham Alfath, Maliki Alifatul Muyasaroh Alifian yusuf, Muhammad Amin Suyitno Anggraeni, Aliyya Anis Shihafiyatal Abida Anisa Rosdiana, Anisa Arief Agoestanto Arissinta, Insyiraah Oxaichiko Ashim, Muhammad Asih, Tri Sri Noor Astutiningtyas, Luthfiyah Aulia, Sabrina Aziz Ayu Andira Risnawati Aziiza Andanawarih Utoyo Bambang Eko Susilo Budi Waluya Chulaili Sahri Nova, Tsalisa Dani, Muhamad Abdul Qodir Ditasari, Dwi Dian Dwijanto Dwijanto Ellya Masturina Hamid Emi Pujiastuti Faujiyah, Siti Fauzi, Fatkhurokhman Gunawan Gunawan Habibie, Zulqoidi R. Hardi Suyitno Iis Widya Harmoko Ikrimah, Annisa Isnarto Isnarto Iwan Junaedi Iwan Junaedi Iwan junaedi Jannatun Khustia Lubis Kartono Kartono , Kartono, Wardono Khoirunnisa, Farah Dina Korkor, Sarah Kusuma Wijaya, Galih Lavicza, Zsolt Lina Lutfiyana Luluk Ulfa Chasania Lutfiyana, Lina Masri'an, Hera Masrukan Masrukan Miftahudin Moh Khubaib Tamami Mohammad Asikin Muhammad Ainuddin Daahiljabir Muhammad Ghozian Kafi Ahsan Muhammad Iqbal Muhammad Iqbal Mulyono Mulyono Mulyono Muna, Trimurtini, Nur Aizatun Mutik, Rossa Muttaqin, Muhammad Nurul Nike Yustina Oktaviani Noviana Dini Rahmawati Nur Fitrianingsih, Riska Nur Hasanah Nurfaidah Nurfaidah Nurhasanah, Rizki Ahid Nurkaromah Dwidayati, Nurkaromah Nurochmah, Yeni Nuryadi Nuryadi Pandi, Eunike Cantika Kusuma Petronela Ivoni Susantya Putri, Sanianajiba Nugroho Radika Widiatmaka Rahanto, Faris Febri Rahman, Alif Aulia Rahmawati, Rofiqo Rizki Ahid Nurhasanah Rochdi Wasono Rochmad Rochmad Ruamba, Marthinus Yohanes S B Waluya Safrudiannur Safrudiannur Sarah, Caecillia Rafika SB Waluya SB Waluya Scolastika Mariani Sebastianus Fedi St. Budi Waluya Sufah Iliya Manazila Sugiman Sugiman Sukestiyarno Sukestiyarno Sukestiyarno, Yulius Leonardus Supriyono Supriyono Sutrisno, Hendrik Tiani Wahyu Utami Tsania Rahma Azzahra Utami, Mira Dwi Utoyo, Aziiza Andanawarih Vera Dewi Susanti Vera Dewi Susanti Wahyu Arif Setyo Pambudi Wahyu Nur Annisa Wahyu Nur Annisa Walid Walid Walid, Walid Wardono Wardono Wardono Wijaya, Galih Kusuma Y. L. Sukestiyarno YL Sukerstriyarno YL Sukestiyarno YL Sukestriyarno Zaenuri Zaenuri M Zaenuri Mastur Zaenuri Zaenuri Zikir, Al Zulkardi

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