Stock price forecast of macro-economic factor using recurrent neural network

M. Reza Pahlawan, Edwin Riksakomara, Raras Tyasnurita, Ahmad Muklason, Faizal Mahananto, Retno A. Vinarti


The stock market is one of the investment choices that always have traction from time to time. Aside from being a means of corporate funding, investing in the stock market can benefit investors. Investing also has a higher risk because the pattern of stock prices is volatile, which is caused by internal and external factors. One external factor that affects stock prices is the macro-economic, where these factors are events that occur in a country where one of the economic sectors affected is stock prices. Investors often feel confused about the right time in decisions making related to buying or selling stock. One way to look at how the prospect of stock prices is a stock price forecasting activity. For this study, we will be making use of the recurrent neural network (RNN) to forecast stock prices for the next periods. This research involves two variables: the closing stock price and the rupiah exchange rate against the dollar for the daily period. We achieve a MAPE value of 1.546% for RNN model without the variable foreign exchange rate and 1.558% for the RNN model that uses the foreign exchange rate against the dollar.


Exchange rate; Recurrent neural network; Stock forecast

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IAES International Journal of Artificial Intelligence (IJ-AI)
ISSN/e-ISSN 2089-4872/2252-8938 
This journal is published by the Institute of Advanced Engineering and Science (IAES) in collaboration with Intelektual Pustaka Media Utama (IPMU).

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