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Farit Mochamad Afendi
Biopharmaca Research Center, Bogor Agricultural University Department Of Statistic, Faculty Of Mathematics And Natural Sciences, Bogor Agricultural University
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

 1 
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 . Indahwati . Sutoro Aam Alamudi Abd. Rasyid Syamsuri Agus Mohamad Soleh Agus Santoso Aji Hamim Wigena Akbar Rizki Akbar Rizki Akbar Rizki Aki Hirai Anang Kurnia Anggraini Sukmawati Annisa Malik Apino, Ezi Aqmar, Nurzatil Bagus Sartono Budi Susetyo Budi Susetyo Budi Waryanto Budi Waryanto Budi Waryanto Cici Suhaeni Dairul Fuhron Dalimunthe, Amir Abduljabbar Dian Ayuningtyas Eka Setiawaty Erwandi Erwandi fatimah Fatimah Febie Tri Lestari Fitrianto, Anwar H S, Rahmat Handayani, Vitri Aprilla Handayani, Vitri Aprilla Hari Wijayanto Hari Wijayanto Hasibuan, Rafika Aufa Hasnita Hasnita Herdina Kuswari Heri Retnawati Hiroki Takahashi I Made Sumertajaya Ikhlasul Amalia Rahmi Indahwati Indahwati Indahwati Isnan Mulia Itasia Dina Sulvianti Izzati, Fatkhul Kensuke Nakamura Khairil Anwar Notodiputro Koesnandy H, Abialam Kusman Sadik Latifah Kosim Darusman M. Rafi Maya Deanti Maysarah Sabariah Kudadiri Md. Altaf-Ul-Amin . Melati Mochamad Ridwan Mochamad Ridwan, Mochamad Mohammad Masjkur Muchlishah Rosyadah Muhammad Ali Umar Mukhamad Najib Nadhif Nursyahban Nur Hikmah Nur Janah Nur Jannah Nurul Qomariasih Octaviani, Siti Nurfajar Panjaitan, Intan Juliana Pardede, Timbul Pika Silvianti Pika Silvianti Pika Silvianti Puspita, Novi Qomariasih, Nurul Rifqi Aulya Rahman Rizal Bakri Rossi Azmatul Barro Rosyada, Munaya Nikma Rosyadah, Muchlishah Rudi Heryanto Safitri, Wa Ode Rahmalia Septaningsih, Dewi Anggraini Septanti Kusuma Dwi Arini Septiani, Adeline Vinda Shigehiko Kanaya 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