Predicting Stock Price Movements with Technical, Fundamental, and Sentiment Analysis Using the LSTM Model
DOI:
https://doi.org/10.31294/informatika.v12i1.12248Keywords:
Stock, LSTM, Sentiment analysisAbstract
The challenge of minimizing risk and maximizing profit is what traders in the stock market have been endeavoring to solve for years. Stock prices typically exhibit the characteristic of volatility, influenced by various factors and necessitate a substantial amount of data to identify patterns in price movements. Considering the significant data requirements and the rapid advancement of big data and artificial intelligence, the LSTM (Long-Short Term Memory) model stands as a suitable approach for utilization in Deep Learning. The independent variables employed encompass technical indicator variables, currency exchange rates, interest rates, the Jakarta Composite Index (IHSG), and sentiment data extracted from Twitter tweets. The results indicate that sentiment analysis using the IndoBERT model achieved an accuracy of 0.69, while LSTM analysis produced the model with the smallest error for the fourth (4th) combination of variables, comprising closing price, technical indicators, IHSG, exchange rate, and Twitter sentiment, as well as the twelfth (12th) combination of variables, encompassing closing price, technical indicators, and IHSG. These combinations yielded average RMSE errors of 1.765E-04 and 1.978E-04, respectively. Hyperparameter optimization is done to six hyperparameter, number of unit layer, dropout rate, learning rate, batch size, optimizer, and timestamps. Following hyperparameter optimization, the best-identified model was the fourth (4th) combination of variables, yielding a minimal error of 7.580E-05 and an RMSE of 332.66 in the evaluation of test data.
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Copyright (c) 2025 Muhammad Ighfar Saputra, Erna Nurmawati, Rayhan Abyasa (Author)
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