Stock Price Time Series Data Forecasting Using the Light Gradient Boosting Machine (LightGBM) Model

Anggit Dwi Hartanto · Yanuar Nur Kholik · Yoga Pristyanto

28 citations0/0 files storedJOIV International Journal on Informatics Visualization

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Stock Market Forecasting Methods Forecasting Techniques and Applications Time Series Analysis and Forecasting

Abstract

In the world of stock investment, one of the things that commonly happens is stock price fluctuations or the ups and downs of stock prices. As a result of these fluctuations, many novice investors are afraid to play stocks. However, on the other hand, stocks are a type of investment that can be relied upon during disasters or economic turmoil, such as in 2019, namely the Covid-19 pandemic. For stock price fluctuations to be estimated by investors, it is necessary to carry out a forecasting activity. This study builds stock price forecasting using the Light Gradient Boosting Machine (LightGBM) algorithm, which has high accuracy and efficiency. To forecast stock price time series, the model used is the LightGBM ensemble. At the same time, they were optimizing the determination of hyperparameters using Grid Search Cross Validation (GSCV). This study will also compare the LGBM algorithm with other algorithms to see which model is optimal in forecasting price stock data. In this study, the test used the RMSE metric by comparing the original data (testing data) with the predicted results. The experimental results show that the LightGBM model can compete with and outperform boosting-based forecasting models like XGBoost, AdaBoost, and CatBoost. In comparing forecasting models, the same dataset is used so that the results are accurate, and the comparisons are equivalent. In future research, paying attention to the data during pre-processing is necessary because it has many outliers. In addition, it is necessary to include exogenous variables and external variables, which are determined to involve many parties.

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References

2018Financial time series forecasting model based on CEEMDAN and LSTM 2020A CNN-BiLSTM-AM method for stock price prediction 2022M5 accuracy competition: Results, findings, and conclusions 2021Financial time series forecasting with multi-modality graph neural network 2020Stock price prediction using deep learning and frequency decomposition 2020Fractional Neuro-Sequential ARFIMA-LSTM for Financial Market Forecasting 2022Profit Prediction Using ARIMA, SARIMA and LSTM Models in Time Series Forecasting: A Comparison 2021Data science approach to stock prices forecasting in Indonesia during Covid-19 using Long Short-Term Memory (LSTM)

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