Comparative Analysis of Linear Regression and Neural Network Algorithms for Stock Price Prediction

Eldrianto Christian Wibowo, Ariya Dwika Cahyono

Abstract


This study compares the performance of Linear Regression and Neural Network algorithms in predicting stock prices using historical data from PT Bank Central Asia Tbk (BBCA) for the period from January 1, 2019, to February 17, 2025. The dataset includes daily open, high, low, and close prices, as well as trading volume. Linear Regression is employed as a conventional statistical approach, while Neural Networks are applied as a machine learning method based on deep learning.
Performance evaluation is conducted using three error metrics: Mean Absolute Error (MAE), Mean Squared Error (MSE), and Root Mean Squared Error (RMSE). The experimental results show that the Linear Regression model consistently produces more accurate predictions with lower error values compared to the Neural Network. Although Neural Networks are more flexible in capturing non-linear patterns, Linear Regression demonstrates greater stability under market conditions present in the observed data period.

Keywords


Stock Price Prediction; Linear Regression; Neural Network; Machine learning

Full Text:

PDF

References


W. R. U. Fadilah, D. Agfiannisa, and Y. Azhar, "Analisis Prediksi Harga Saham PT. Telekomunikasi Indonesia menggunakan Metode Support Vector Machine," Fountain of Informatics Journal, Vol. 5, No. 2, pp. 45-51, 2020.

Z. Munawar, A. Muliantara, R. M. Kmurawak, F. Reba, A. Sroyer, D. Sukmawan, and I. S. Beno, Big Data Analytics: Konsep, Implementasi, dan Aplikasi Terkini. Kaizen Media Publishing, 2023.

S. P. Widodo, "Implementasi Recurrent Neural Network (RNN) & Long Short Term Memory (LSTM) dalam Peramalan Harga Saham Bank Syariah Indonesia (BSI) (Studi Kasus: Harga Penutupan Saham (Closing Price) PT. BSI Periode 9 Mei 2018 sampai 12 Januari 2024)," PhD dissertation, Universitas Islam Indonesia, 2024.

B. Jange, "Prediksi Harga Saham Bank BCA menggunakan Prophet," Journal of Trends Economics and Accounting Research, Vol. 2, No. 1, pp. 1-5, 2021.

M. R. A. Ananda and R. Kurniawan, "Perbandingan Algoritma Regresi Linier dengan Neural Network untuk memprediksi Harga Saham Bank Jago," JATI (Jurnal Mahasiswa Teknik Informatika), Vol. 8, No. 2, pp. 1439-1445, 2024.

I. Khairiyah, "Integrasi Teknologi Canggih dalam Investasi: Cara meningkatkan Keuntungan dan Mengelola Risiko dengan Efektif," INVESTI: Jurnal Investasi Islam, Vol. 5, No. 1, pp. 587-600, 2024.

A. Ismail, H. Herbenita, N. Desliniati, and Y. Andriyati, Mengenal Investasi di Pasar Modal: Melalui Sekolah Pasar Modal Bursa Efek Indonesia. Asadel Liamsindo Teknologi, 2024.

B. Pradito and D. S. Purnia, "Komparasi Algoritma Linear Regression dan Neural Network untuk memprediksi Nilai Kurs Mata Uang," EVOLUSI: Jurnal Sains dan Manajemen, Vol. 10, No. 2, 2022.

D. E. Waluyo, H. W. Kinasih, C. Paramita, D. Pergiwati, R. Nohan, and F. A. Rafrastara, "Komparasi dan Implementasi Algoritma Regresi Machine Learning untuk Prediksi Indeks Harga Saham Gabungan," Jurnal Informatika: Jurnal Pengembangan IT, Vol. 9, No. 1, pp. 12-17, 2024.

B. H. Mahendra, M. G. Gumay, and L. C. Mungaran, "Analisis Perbandingan Prediksi Harga Saham menggunakan Algoritma Artificial Neural Network dan Linear Regression," Jurnal Ilmiah Komputasi, Vol. 22, No. 2, pp. 303-312, 2023.

B. Sisephaputra, L. Judijanto, A. Apriyanto, L. Lukman, M. Migunani, N. Umar, and D. C. Wati, Generative Artificial Intelligence (GenAI): Pengetahuan Dasar GenAI Beserta Penerapannya. PT. Green Pustaka Indonesia, 2024.

M. A. D. Suyudi, E. C. Djamal, and A. Maspupah, "Prediksi Harga Saham menggunakan Metode Recurrent Neural Network," in Seminar Nasional Aplikasi Teknologi Informasi (SNATI), August 2019.

W. Andriyani, R. Purnomo, S. A. Hendrawan, A. I. Irvani, A. Sujarwo, Y. N. Asri, and H. Lubis, Data sebagai Fondasi Kecerdasan Buatan. TOHAR MEDIA, 2024.

A. Agusta, I. Ernawati, and A. Muliawati, "Prediksi Pergerakan Harga Saham pada Sektor Farmasi menggunakan Algoritma Long Short-Term Memory," Informatik: Jurnal Ilmu Komputer, Vol. 17, No. 2, pp. 164-173, 2021.

K. D. Larasati, "Prediksi Harga Bitcoin berdasarkan Informasi Blockchain menggunakan Metode Long-Short Term Memory," PhD dissertation, Universitas Islam Indonesia, 2020.

V. P. Ramadhan and F. Y. Pamuji, "Analisis Perbandingan Algoritma Forecasting dalam Prediksi Harga Saham LQ45 PT Bank Mandiri Sekuritas (BMRI)," Jurnal Teknologi dan Manajemen Informatika, Vol. 8, No. 1, pp. 39-45, 2022.

I. Saluza and H. Hartati, "Neural Network Optimization using Ensemble Method in Forecasting Financial Data," JUSTIN (Jurnal Sistem dan Teknologi Informasi), Vol. 10, No. 4, pp. 381-386, 2022.

A. T. Nurani, A. Setiawan, and B. Susanto, "Perbandingan Kinerja Regresi Decision Tree dan Regresi Linear Berganda untuk Prediksi BMI pada Dataset Asthma," Jurnal Sains Dan Edukasi Sains, Vol. 6, No. 1, pp. 34-43, 2023.

M. A. Rayadin, M. Musaruddin, R. A. Saputra, and I. Isnawaty, "Implementasi Ensemble Learning Metode XGBoost dan Random Forest untuk Prediksi Waktu Penggantian Baterai Aki," BIOS: Jurnal Teknologi Informasi Dan Rekayasa Komputer, Vol. 5, No. 2, pp. 111-119, 2024.

D. Saputro and D. Swanjaya, "Analisa Prediksi Harga Saham menggunakan Neural Network dan Net Foreign Flow," Generation Journal, Vol. 7, No. 2, pp. 96-104, 2023.

P. N. Setiawati and A. L. Wijaya, "Pengaruh Kinerja Keuangan dan Komite Audit terhadap Nilai Perusahaan BUMN di Bursa Efek Indonesia," Kompartemen: Jurnal Ilmiah Akuntansi, Vol. 20, No. 2, pp. 203-214, 2023.

R. F. Putra, I. R. Mukhlis, A. I. Datya, S. J. Pipin, F. Reba, M. Al-Husaini, and L. Judijanto, Algoritma Pembelajaran Mesin: Dasar, Teknik, dan Aplikasi. PT. Sonpedia Publishing Indonesia, 2024.

J. S. Sebayang and B. Yuniarto, "Perbandingan Model Estimasi Artificial Neural Network Optimasi Genetic Algorithm dan Regresi Linier Berganda," Media Statistika, Vol. 10, No. 1, pp. 13-23, 2017.

D. Chicco, M. J. Warrens, and G. Jurman, "The Coefficient of Determination R-Squared is More Informative than SMAPE, MAE, MAPE, MSE and RMSE in Regression Analysis Evaluation," PeerJ Computer Science, Vol. 7, p. e623, 2021.

D. Setiawan, T. W. Septiarini, and H. Kurniawan, "Systematic Literature Review: Metode dan Teknik Peramalan Cryptocurrency," in Prosiding Seminar Nasional Sains dan Teknologi "SainTek", Vol. 2, No. 1, pp. 1271-1291, February 2025.

M. Arifin, F. Helmi, and R. B. Hikmawansyah, "Analisis Metode dan Algoritma dalam Sistem Pendukung Keputusan untuk memprediksi Kelulusan," Journal of Advanced Research in Informatics, Vol. 3, No. 1, pp. 73-80, 2024.




DOI: https://doi.org/10.32520/stmsi.v14i4.5325

Article Metrics

Abstract view : 52 times
PDF - 13 times

Refbacks

  • There are currently no refbacks.


Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.