Combination of Historical Stock Data and External Factors In Improving Stock Price Prediction Performance

Abstract

Stock price prediction continues to be a major focus for investors today, some previous studies often focus on technical analysis using historical stock price data and ignore external factors that can affect stock prices. The purpose of this research is to overcome the shortcomings of previous research by creating a stock price prediction model that combines historical stock data consisting of date, high, low, open, close, adj close, volume and external factors such as days, interest rates, inflation, and dividends. The data used came from 33 companies from 11 industrial sectors in Indonesia for 2267 trading days and evaluated the prediction performance using MSE, MAPE and R-squared. The results show a significant improvement in the evaluation metrics when external factors are added. This shows the importance of such factors in improving the prediction analysis and increasing the reliability of the prediction model. This approach is expected to not only overcome the limitations of traditional methods but also utilize a combination of deep learning and machine learning to improve prediction accuracy. Thus, this research not only provides new insights in the field of financial analysis but also provides new insights and solutions for investors to make more informed and less risky decisions.

Keywords

• gru
• attention
• random forest regressor
• stock