Indonesian Stock Price Prediction Using Neural Basis Expansion Analysis for Interpretable Time Series Method

Abstract

The stock market is an attractive investment venue for many individuals and companies. However, unexpected share price fluctuations can cause significant financial losses. In stock investment, predicting stock price movements is the most frequently discussed topic because it allows investors to make the right investment decisions to make big profits. Therefore, a model is needed to predict future stock prices, one strategy for maximising investment profits. New state-of-the-art deep learning architectures for time series forecasting are being developed yearly, making them more accurate than ever. The most commonly used network for such a solution is Long Short-Term Memory (LSTM) architecture, but it has limitations such as long training time and interpretability. This study aims to evaluate another state-of-theart solution, Neural Basis Expansion Analysis for Interpretable Time Series (N-BEATS), in comparison with LSTM by utilising historical data of PT Bank Central Asia Tbk (one of the banking companies in Indonesia) from 25 March 2013 to 21 March 2023. N-BEATS is a relatively new variable method that can produce accurate predictions using neural networks. This architecture has advantages such as interpretability, seamless applicability across diverse target domains without requiring modifications, and fast training. Based on tests carried out with prediction errors measured using the Mean Average Percentage Error (MAPE), it was found that the N-BEATS model outperformed the LSTM model with a MAPE value of 1.05 percent. In conclusion, this research shows the use of a new method of deep learning algorithms to predict stock prices, which contributes to facilitating stock buying and selling decisions by investors.