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All Journal Jurnal Ilmu Pertanian Indonesia Jurnal Manajemen dan Organisasi FORUM STATISTIKA DAN KOMPUTASI ComEngApp : Computer Engineering and Applications Journal TELKOMNIKA (Telecommunication Computing Electronics and Control) Jurnal Edukasi dan Penelitian Informatika (JEPIN) JUITA : Jurnal Informatika Indonesian Journal of Biotechnology Scientific Journal of Informatics BAREKENG: Jurnal Ilmu Matematika dan Terapan Indonesian Journal of Chemistry JTAM (Jurnal Teori dan Aplikasi Matematika) Jambura Journal of Mathematics ComTech: Computer, Mathematics and Engineering Applications Jurnal Jamu Indonesia Journal of Enterprise and Development (JED) International Journal of Advances in Data and Information Systems ARRUS Journal of Mathematics and Applied Science Prosiding Seminar Nasional Official Statistics UNP Journal of Statistics and Data Science Xplore: Journal of Statistics PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON DATA SCIENCE AND OFFICIAL STATISTICS Scientific Journal of Informatics Indonesian Journal of Jamu Indonesian Journal of Statistics and Its Applications Limits: Journal of Mathematics and Its Applications
Farit Mochamad Afendi
Department Of Statistics And Data Science, School Of Data Science, Mathematics, And Informatics, IPB University, Indonesia
Agriculture, Biological Sciences & Forestry Humanities Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Health Professions Immunology & microbiology Materials Science & Nanotechnology Mathematics Mechanical Engineering Medicine & Pharmacology Physics Social Sciences Transportation Other

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Journal : scientific journal of informatics

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Comparison of ARIMA and GRU Models for High-Frequency Time Series Forecasting. Ridwan, Mochamad; Sadik, Kusman; Afendi, Farit Mochamad
Scientific Journal of Informatics Vol 10, No 3 (2023): August 2023
Publisher : Universitas Negeri Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/sji.v10i3.45965

Abstract

Purpose: The purpose of this research is to assess the efficacy of ARIMA and GRU models in forecasting high-frequency stock price data, specifically minute-level stock data from HIMBARA banks. In time series analysis, time series data exhibit interesting interdependence among observations. Despite its popularity in time series forecasting, the ARIMA model has limitations in capturing complicated nonlinear patterns. Forecasting high-frequency data is becoming more popular as technology advances and more high-frequency data becomes available.Methods: In this study, we compare the ARIMA and GRU models in forecasting minute-level stock prices of HIMBARA banks. The data used consists of 62,921 minute-level stock data points for each bank in the HIMBARA group, collected in the year 2022. The GRU model was chosen because it is capable of capturing complex nonlinear patterns in time series data. Each method's predicting performance is assessed using the Mean Absolute Percentage Error (MAPE) statistic.Results: In terms of forecasting accuracy, the GRU model outperforms the ARIMA model. The GRU model achieves a MAPE of 0.77% for BMRI stock, while the ARIMA model achieves a MAPE of 4.09%. The GRU model predicts a MAPE of 0.34% for BBRI stock, while the ARIMA model predicts a MAPE of 3.02%. For BBNI stock, the GRU model obtains a MAPE of 0.63%, while the ARIMA model achieves a MAPE of 1.52%. The GRU model achieves a MAPE of 0.58% for BBTN stock, while the ARIMA model achieves a MAPE of 6.2%.Novelty: In terms of minute-level time series data modeling, research in Indonesia has been limited. This study adds a new perspective to the discussion by comparing two modeling approaches: the traditional ARIMA model and the sophisticated deep learning GRU model, both of which are applied to high-frequency data. Beyond the present scope, there are several promising future directions to pursue, such as anticipating intraday stock fluctuations. This unexplored zone not only contributes to the field of financial modeling but also has the ability to uncover intricate patterns in minute-level data, an area that has not been extensively studied in the Indonesian context.
Co-Authors . Sutoro Aam Alamudi Abd. Rasyid Syamsuri Abialam Koesnandy H Adeline Vinda Septiani Agus Mohamad Soleh Aji Hamim Wigena Aji Hamim Wigena Akbar Rizki Akbar Rizki Akbar Rizki Aki Hirai Amir Abduljabbar Dalimunthe Anang Kurnia Anggraini Sukmawati Annisa Malik Aqmar, Nurzatil Bagus Sartono Budi Susetyo Budi Waryanto Budi Waryanto Budi Waryanto Cici Suhaeni Dairul Fuhron Dian Ayuningtyas Eka Setiawaty Erwandi Erwandi fatimah Fatimah Fatkhul Izzati Febie Tri Lestari Fitri Mudia Sari Fitrianto, Anwar H S, Rahmat Handayani, Vitri Aprilla Handayani, Vitri Aprilla Hari Wijayanto Hari Wijayanto Hasibuan, Rafika Aufa Hasnita Hasnita Herdina Kuswari Hiroki Takahashi I Made Sumertajaya I Made Sumertajaya I'lmisukma Risnawati Ikhlasul Amalia Rahmi Indahwati Intan Juliana Panjaitan Isnan Mulia Itasia Dina Sulvianti Kensuke Nakamura Khairil Anwar Notodiputro Kusman Sadik Latifah Kosim Darusman Maya Deanti Maysarah Sabariah Kudadiri Md. Altaf-Ul-Amin . Melati Mochamad Ridwan Mochamad Ridwan, Mochamad Mohammad Masjkur Muchlishah Rosyadah Muhammad Ali Umar Muhammad Nur Aidi Muhammad Yusran Mukhamad Najib Nadhif Nursyahban Nina Valentika Nur Hikmah Nur Hikmah Nur Janah Nur Jannah Nurul Qomariasih Octaviani, Siti Nurfajar Oktaviyani Daswati Panjaitan, Intan Juliana Pika Silvianti Pika Silvianti Pika Silvianti Puspita, Novi Qomariasih, Nurul Rifqi Aulya Rahman Rizal Bakri Rossi Azmatul Barro Rosyadah, Muchlishah Rudi Heryanto Safitri, Wa Ode Rahmalia Septaningsih, Dewi Anggraini Septanti Kusuma Dwi Arini Shigehiko Kanaya Siti Nurfajar Octaviani Sulistiyani . Syahrir, Nur Hilal A. Syahrir, Nur Hilal A. Usman, Muhammad Syafiuddin Widhiyanti Nugraheni Widya Putri Nurmawati Winata, Hilma Mutiara Wisnu Ananta Kusuma Zana Aprillia