DATA SCIENCE AND ARTIFICIAL INTELLIGENCE IMPLEMENTATION IN STOCK MARKET PREDICTION: âA CASE STUDY ON INDONESIA STOCK EXCHANGE LQ45 INDEXâ
As one of the countries with the largest economic status and the largest population in the world, Indonesia has enormous potential for the development of the stock market. Even though the world has been hit by the COVID-19 pandemic in recent years, which has shaken the world economic sector, the Ind...
Saved in:
| Main Author: | |
|---|---|
| Format: | Theses |
| Language: | Indonesia |
| Subjects: | |
| Online Access: | https://digilib.itb.ac.id/gdl/view/57359 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | As one of the countries with the largest economic status and the largest population in the world, Indonesia has enormous potential for the development of the stock market. Even though the world has been hit by the COVID-19 pandemic in recent years, which has shaken the world economic sector, the Indonesian Stock Exchange has even recorded an increase in the number of investors by 56% as of December 2020 and the daily transaction value of retail investors has also increased by 70%. However, the increase in this indicator was not followed by adequate knowledge of financial literacy based on the results of a survey conducted by Otoritas Jasa Keuangan OJK. From the survey, it is known that there are only 4.4% of the total respondents who understand what investment in the stock market sector is like, which poses its own risks for these investors. This means that there is a high probability that investors will enter the stock market without sufficient knowledge about the risks involved in the stock market, which will result in these investors losing their money. With such conditions, investors will depend on other people such as influencers, close friends, etc. in developing their trading strategies.
In fact, by doing research, investors can find various platforms that can help them to be successful in the stock market where these platforms provide services to identify stock performance in the future based on fundamental/technical analysis. However, the service requires a subscription fee, which ultimately discourages investors due to limited funds.
Based on the reasons above, this study was conducted to see the implementation of data science and artificial intelligence approaches in predicting stock prices on the Indonesian stock exchange. This study will use technical analysis indicators as basic input to develop an artificial intelligence model that can produce predictions of stock price movements within the next 2 weeks. Those variables will be passed through a comprehensive conceptual framework that consists of 6 process to produce excellent model result and performance. The raw data is compiled from Yahoo Finance by using Python programming language. After the data is ready, Exploratory Data Analysis is conducted to carefully select and review the most significant parameters for output model. 5 Machine Learning algorithms are tested to select the best model representation in regression and classification problem. The validated model has an R2 0.99 and an accuracy score of 0.76 which is considered excellent for implementation by utilizing Tableau Software. This artificial intelligence model also has an outstanding performance when it comes to identifying irrational market potential with examples of the COVID-19 effect in mid-March 2019. By utilizing the approach, investors can greatly minimize of their financial, emotional, political and governmental risks. The model prediction results can also be accessed online and free in the form of a csv file and visualized on various platforms such as Microsoft. Excel, PowerBI, Tableau, etc.
|
|---|