Comparative Study on Stock Movement Prediction Using Hybrid Deep Learning Model
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Abstract
Applying machine learning techniques in stock market prediction has evolved significantly, with deep learning methodologies gaining prominence. Conventional algorithms such as Linear Regression and Neural Networks initially dominated but struggled to capture complex temporal dependencies in financial data. Recent research has explored deep learning architectures like LSTM and CNN and hybrids such as CNN-LSTM and LSTM-CNN, showcasing promising results. However, there's a gap in research comparing these models across different datasets, particularly in predicting stock movements. This study addresses this gap by conducting a comparative analysis of deep learning and hybrid models for stock movement prediction in the Indonesian banking sector. The evaluation based on RMSE and MAE reveals that the LSTM-CNN hybrid consistently outperforms other models, showcasing its versatility and accuracy across different data characteristics. Then, exploration through hyperparameter tuning demonstrates the criticality of parameter selection in optimizing model performance. These findings contribute to advancing predictive modeling in financial markets, offering valuable insights for investors, analysts, and policymakers. Further research in hyperparameter tuning and model optimization holds promise for enhancing accuracy and reliability in stock price prediction.
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