Article Per Year (5 Year)
p-Index From 2020 - 2025
5.692
P-Index
This Author published in this journals
All Journal Lontar Komputer: Jurnal Ilmiah Teknologi Informasi Jurnal Statistika Universitas Muhammadiyah Semarang Jurnal Teknologi dan Manajemen Informatika Jurnal Ilmiah Teknik Elektro Komputer dan Informatika (JITEKI) Prosiding SNATIF Sistem : Jurnal Ilmu-Ilmu Teknik JEEMECS (Journal of Electrical Engineering, Mechatronic and Computer Science) Conference SENATIK STT Adisutjipto Yogyakarta Management and Economics Journal (MEC-J) JTAM (Jurnal Teori dan Aplikasi Matematika) CYCLOTRON Jurnal Abadimas Adi Buana Jiko (Jurnal Informatika dan komputer) Jurnal Teknik Elektro dan Komputer TRIAC Jurnal Riset Informatika JEECAE (Journal of Electrical, Electronics, Control, and Automotive Engineering) JASIEK (Jurnal Aplikasi Sains, Informasi, Elektronika dan Komputer) bit-Tech Jurnal Sistem informasi dan informatika (SIMIKA) JATI (Jurnal Mahasiswa Teknik Informatika) CIVITAS (JURNAL PEMBELAJARAN DAN ILMU CIVIC) International Journal of Advances in Data and Information Systems Journal of Computer Networks, Architecture and High Performance Computing Darmabakti : Junal Pengabdian dan Pemberdayaan Masyarakat JAREE (Journal on Advanced Research in Electrical Engineering) Jurnal Teknik Informatika (JUTIF) International Journal of Robotics and Control Systems Jurnal Teknologi dan Manajemen SinarFe7 Jurnal Penelitian Journal of Information Systems and Technology Research JAPI: Jurnal Akses Pengabdian Indonesia Internet of Things and Artificial Intelligence Journal JEECS (Journal of Electrical Engineering and Computer Sciences) TAMIKA: Jurnal Tugas Akhir Manajemen Informatika & Komputerisasi Akuntansi ITIJ Indonesian Journal of Electronics, Electromedical Engineering, and Medical Informatics Jurnal ilmiah teknologi informasi Asia
Dwi Arman Prasetya
Unknown Affiliation
Aerospace Engineering Agriculture, Biological Sciences & Forestry Humanities Automotive Engineering Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Health Professions Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Materials Science & Nanotechnology Mathematics Mechanical Engineering Nursing Public Health Social Sciences Other

Published : 72 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search
Journal : Jurnal Teknik Informatika (JUTIF)

 1 
Stock Price Prediction and Risk Estimation Using Hybrid CNN-LSTM and VaR-ECF Febriyanti, Alvi Yuana; Prasetya, Dwi Arman; Trimono, Trimono
Jurnal Teknik Informatika (Jutif) Vol. 6 No. 3 (2025): JUTIF Volume 6, Number 3, Juni 2025
Publisher : Informatika, Universitas Jenderal Soedirman

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.52436/1.jutif.2025.6.3.4648

Abstract

Stock price prediction is a major challenge in the financial domain due to high volatility and complex movement patterns. Traditional methods such as fundamental and technical analysis often fail to capture the non-linear characteristics and fast-changing market dynamics, highlighting the need for more adaptive approaches. This study proposes a hybrid deep learning model, CNN-LSTM, which combines CNN's local feature extraction capabilities with LSTM’s ability to model long-term temporal dependencies. To incorporate risk management, the model is also integrated with the Value at Risk (VaR) approach using the Cornish-Fisher Expansion (ECF) to estimate potential losses under extreme market conditions. The study utilizes daily historical stock price data of PT Unilever Indonesia Tbk retrieved from Yahoo Finance. Model performance is evaluated using Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE), where the model achieves an MAE of 78.13 and a MAPE of 2.72%, indicating relatively low absolute and relative prediction errors. These results confirm that the CNN-LSTM approach effectively models stock price movements in dynamic market environments, and the integration with VaR-ECF provides a more comprehensive risk estimate. Thus, this approach not only enhances predictive accuracy but also offers valuable decision-support tools for investors in planning investment strategies.
Co-Authors ', Nachrowie ., Humaidi A. A. Ngurah Gunawan Aan Nehru Awanto Achmad Junaidi Aditya, Wigananda Firdaus Putra Agustina, Fadlila Akio Kitagawa Alam, Fajar Indra Nur Ali, Munawar Amrullah, Ahmad Wildan Andre Leto Andrew Arjunanda Yasin Anggraini Puspita Sari Anindha Lazuardi Aries Boedi Setiawan Arifani, Kahpi Baiquni Arifuddin, Rahman Arum Puspita Ayu Atiana Sofia Kaci Awang, Wan Suryani Wan Azizah, Alisa Jihan Aziziyah, Luqna Baidowi Baidowi Baidowi Baidowi Bambang Nurdewanto Barus, Indra Basitha F Hidayatulail Cahyani Kuswardhani, Hajjar Ayu cahyono, wahyu eko Candra Laksana Damai Arbaus, Damai Damaliana, Aviolla Terza Danang - Destiawan Danang Destiawan Desyderius Minggu Dicky Kurniawan Diyasa, I Gede Susrama Mas Dody Pintarko Dwi Agung Ayubi E, Nachrowie Ekawati, Anies Eko Wahyu Prasetyo Elta Sonalitha Sonalitha Erik Roma Hurmuzi Fahrudin, Tresna Maulana Farhans, Muhammad Izzudin Febriyanti, Alvi Yuana Firdaus Firdaus Firza Prima Aditiawan Gatut Yulisusianto Halim, Christina Hari Fitria Windi Hendry Yudha Pratama Hesti Sholikah, Hesti Hidayatulail, Basitha F Hindrayani, Kartika Maulida Hiroshi Suzuki Hurmuzi, Erik Roma Ibrahim, Mohd Zamri Bin Iffadah, Adhisa Shilfadianis Indra Barus Irsyadi, Muhamad Haidir Ismail, Jefri Abdurrozak Januar, Teddy Jariyah Jeki Saputra Junita Junita Kartika Maulida Hindrayani Kassim, Anuar bin Mohamed Kholid, Fajar Kukuh Yudhistiro, Kukuh Kurniawan, Dicky Kusuma, Dwi Febri Chandra Kusuma, Firdaus Miftakh Kuswardana, Dendy Arizki Laksana, Candra Lestari, Amanda Ayu Dewi Lisanthoni, Angela Maldini, Andry Syva Mas Diyasa, I Gede Susrama Maulidiyyah, Nova Auliyatul Mohammad Ansori Mohammad, Bawazir Fadhil Muhaimin, Amri Muhammad Ansori Muhammad Muharrom Al Haromainy Mulyadi Mulyadi Nachrowie Nachrowie Nachrowie, Nachrowie Nambo Hidetaka Ningrum, Imelda Widya Ninik Sisharini Ninis Herawati Norma Windiyanti Novita Anggraini Nur Rachman Nur Rachman Supatmana Muda Nur Rochman Nur Rochman Nurhalizah, Cesaria Deby Prakoso, Akbar Tri Puput Dani Prasetyo Adi Putri, Irma Amanda Rabi, Abd. Rahman Arifuddin Rahmanda Putri, Endin Rahmawati, Adinda Aulia Respati Respati Rosariawari, Firra Rudi Wilson Sagita Rochman Salim, Hotimah Masdan Santika, Surya Saputra, Wahyu Syaifullah Jauharis Sari, Andina Paramita Siswanto Siswanto Siti Nuurlaily Rukmana, Siti Nuurlaily Stanislaus Yoseph Subairi Subairi Sumartono Sumartono Sumartono Suprayogi Suprayogi Suprayogi Suprayogi Surya Nanda Santika, Surya Takahiro Kitajima Takashi Yasuno Tresna Maulana Fahrudin Trimono Trimono, Trimono Wahyu Dirgantara Wahyuni, Dinar H S wangge, ferdinandus Weisrawei, Yosef Yasin, Andrew Arjunanda Yohanes U D Sipul Yosef Weisrawei Yosua Satria Bara Harmoni Yunia Dwie Nurchayanie Yusaq Tomo Ardianto