Stock Price Movement Classification Using Ensembled Model of Long Short-Term Memory (LSTM) and Random Forest (RF)

Abstract

Stock investing is known worldwide as a passive income available for everyone. To increase the profit possibly gained, many researchers and investors brainstorm to gain a strategy with the most profit. Machine learning and deep learning are two of these approaches to predicting the stock's movement and deciding the strategy to gain as much as possible. To reach this goal, the researcher experiments with Random Forest (RF) and Long Short-Term Memory (LSTM) by trying them individually and merging them into an ensembled model. The researcher used RF to classify the results from LSTM models obtained throughout the Hyperparameter Optimization (HPO) process. This idea is implemented to lessen the time needed to train and optimize each LSTM model inside the ensembled model. Another anticipation done in this research to overcome the time needed to train the model is classifying the return for longer periods. The dataset used in this model is 45 stocks listed in LQ45 as of August 2021 This research results in showing that LSTM gives better results than RF model especially when using Bayesian Optimization as the HPO method, and that the ensembled model can return better precision in predicting stocks in comparison to the LSTM model itself. Future improvement can focus on the model structure, additional model types as the ensemble model estimator, improvement on the model efficiency, and datasets research to be used in predicting the stock movement prediction