Article Per Year (5 Year)
p-Index From 2021 - 2026
0.23
P-Index
This Author published in this journals
All Journal Indonesian Journal of Statistics and Its Applications
Faisal Arkan
Unknown Affiliation
Computer Science & IT Mathematics Other

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
Cluster Level Time Series Forecasting on Indonesian Banking Stock Prices Using the Gated Recurrent Unit Method Faisal Arkan; Susetyo, Budi; Anisa, Rahma
Indonesian Journal of Statistics and Applications Vol 9 No 2 (2025)
Publisher : Statistics and Data Science Program Study, SSMI, IPB University, in collaboration with the Forum Pendidikan Tinggi Statistika Indonesia (FORSTAT) and the Ikatan Statistisi Indonesia (ISI)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v9i2p261-273

Abstract

In recent years, there has been a significant increase in the number of Single Investor Identification registrations in the Indonesian capital market, as reported by the Financial Services Authority. Many investors favor stocks for their potential for high returns and liquidity. However, stock investments come with high risks due to their fluctuating prices, which are influenced by multiple factors. With 47 listed banking companies in the Indonesia Stock Exchange, clustering can help identify investor patterns. Forecasting stock prices is essential for anticipating future fluctuations. The large number of issuers and the tendency of stock prices to fluctuate increase the potential for outliers, requiring an appropriate clustering method. A study using the k-medoid method and dynamic time warping distance revealed 41 banking companies clustered into 5 clusters with a silhouette coefficient of 0.524. The Gated Recurrent Unit modeling, based on prototypes from the formed clusters, showed an excellent forecasting performance with root mean squared error and mean absolute percentage error ranging from 1-10%. The forecast for the next 8 weeks indicated varying price increases for each cluster. The first and third clusters are recommended for investors looking to maximize capital gains, due to their price increases and diverse cluster member characteristics. Additionally, investors should consider dividends provided by certain banking companies in their investment decision-making process.
Co-Authors Anisa, Rahma Budi Susetyo