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An Empirical Study on the Comparison of LSTM and ARIMA Forecasts using Stock Closing Prices

첫 페이지 보기
  • 발행기관
    국제인공지능학회(구 한국인터넷방송통신학회) 바로가기
  • 간행물
    The International Journal of Advanced Smart Convergence 바로가기
  • 통권
    Volume 12 Number 1 (2023.03)바로가기
  • 페이지
    pp.18-30
  • 저자
    Gui Yeol Ryu
  • 언어
    영어(ENG)
  • URL
    https://www.earticle.net/Article/A427718

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원문정보

초록

영어
We compared empirically the forecast accuracies of the LSTM model, and the ARIMA model. ARIMA model used auto.arima function. Data used in the model is 100 days. We compared with the forecast results for 50 days. We collected the stock closing prices of the top 4 companies by market capitalization in Korea such as “Samsung Electronics”, and “LG Energy”, “SK Hynix”, “Samsung Bio”. The collection period is from June 17, 2022, to January 20, 2023. The paired t-test is used to compare the accuracy of forecasts by the two methods because conditions are same. The null hypothesis that the accuracy of the two methods for the four stock closing prices were the same were rejected at the significance level of 5%. Graphs and boxplots confirmed the results of the hypothesis tests. The accuracies of ARIMA are higher than those of LSTM for four cases. For closing stock price of Samsung Electronics, the mean difference of error between ARIMA and LSTM is -370.11, which is 0.618% of the average of the closing stock price. For closing stock price of LG Energy, the mean difference is -4143.298 which is 0.809% of the average of the closing stock price. For closing stock price of SK Hynix, the mean difference is -830.7269 which is 1.00% of the average of the closing stock price. For closing stock price of Samsung Bio, the mean difference is -4143.298 which is 0.809% of the average of the closing stock price. The auto.arima function was used to find the ARIMA model, but other methods are worth considering in future studies. And more efforts are needed to find parameters that provide an optimal model in LSTM.

목차

Abstract
1. Introduction
2. Forecast Accuracy Comparison of LSTM and ARIMA
2.1 Forecasting using LSTM
2.2 Forecasting using ARIMA
2.3 Comparison of LSTM and ARIMA
3. Conclusion
Acknowledgement
References

키워드

ARIMA Closing Stock Price Deep Learning LSTM Paired t-test

저자

  • Gui Yeol Ryu [ Professor, Department of Software, Seokyeong University, Seoul 02713, Korea ] Corresponding Author

참고문헌

자료제공 : 네이버학술정보

간행물 정보

발행기관

  • 발행기관명
    국제인공지능학회(구 한국인터넷방송통신학회) [The International Association for Artificial Intelligence]
  • 설립연도
    2000
  • 분야
    공학>전자/정보통신공학
  • 소개
    인터넷방송, 인터넷 TV , 방송 통신 네트워크 및 관련 분야에 대한 국내는 물론 국제적인 학술, 기술의 진흥발전에 공헌하고 지식 정보화 사회에 기여하고자 한다.

간행물

  • 간행물명
    The International Journal of Advanced Smart Convergence
  • 간기
    계간
  • pISSN
    2288-2847
  • eISSN
    2288-2855
  • 수록기간
    2012~2025
  • 십진분류
    KDC 326 DDC 380

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