Optimisasi Backpropagation Neural Network dalam Memprediksi IHSG

Hartati Hartati, Alpin Herman Saputra, Imelda Saluza

Abstract


Covid-19 has become a global epidemic and has spread to many countries in the world, including Indonesia. The COVID-19 pandemic is one source of uncertainty that causes financial data to fluctuate and cause data to be volatile. This outbreak had an impact on financial data, not only on the Rupiah exchange rate but also on the Jakarta Composite Index (JCI). The uncertainty of the JCI makes it difficult for investors, data managers, and business people to predict data for the future. JCI is one indicator of the capital market (stock exchange). The uncertainty of the JCI data causes the need for predictions, so that investors, data managers, and business people can make the right decisions so that they can reduce risk and optimize profits when investing. One of the factors causing the JCI's decline was sentiment caused by investor panic over the rapid spread of COVID-19 in various cities in Indonesia. This research uses Backpropagation Neural Network (BPNN) in making predictions and continues with optimization of BPNN using ensemble techniques. Historical data from the JCI used were obtained from yahoo.finance. The ensemble technique used consists of two approaches, namely combining different architectures and initial weights with the same data and combining different architectures and weights. The results of network performance using ensemble technique optimization show good performance and can outperform the individual network performance of BPNN.

 

Keywords: prediction, JCI, Optimization, BPNN, volatile


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DOI: http://dx.doi.org/10.36982/jiig.v13i1.2066

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