Comparing machine learning models for Indonesia stock market prediction
10.11591/ijeecs.v38.i1.pp508-516
Selly Anastassia Amellia Kharis
,
Arman Haqqi Anna Zili
,
Maulana Malik
,
Wahyu Nuryaningrum
,
Agustiani Putri
The financial market hold a significant role in the economy and the ability to accurately predict stock prices poses a major challenge, particularly in volatile markets like Indonesia. This study investigates the application of three supervised machine learning algorithms: random forest (RF), support vector regression (SVR), K-nearest neighbor (KNN) to predict the closing prices of stocks. The data used in this research consists of BBCA, PWON, and TOWR stocks. This study adopted daily historical stock prices from March 2017 to February 2020, which were normalized and segmented into training and testing datasets. The models were trained using machine learning techniques, and their predictive accuracy was evaluated using root mean square error (RMSE) and mean absolute error (MAE). The historical stock data includes Open, High, Low, and Close prices. The result indicated that SVR consistently outperforms RF and KNN in terms of RMSE and MAE across different stocks. The SVR method produced RMSE values of 4.79% for BBCA stock, 10.61% for PWON stock, and 15.14% for TOWR stock, and produces MAE values of 3.52% for BBCA stock, 8.49% for PWON stock, and 13.78% for TOWR stock.
