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@article{ART002987877},
author={Min-Seob Song and Jung-Hye Min},
title={Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data},
journal={Journal of The Korea Society of Computer and Information},
issn={1598-849X},
year={2023},
volume={28},
number={8},
pages={67-75},
doi={10.9708/jksci.2023.28.08.067}

TY - JOUR
AU - Min-Seob Song
AU - Jung-Hye Min
TI - Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data
JO - Journal of The Korea Society of Computer and Information
PY - 2023
VL - 28
IS - 8
PB - The Korean Society Of Computer And Information
SP - 67
EP - 75
SN - 1598-849X
AB - Stock price prediction is an important topic extensively discussed in the financial market, but it is considered a challenging subject due to numerous factors that can influence it. In this research, performance was compared and analyzed by applying time series prediction models (LSTM, GRU) and non-time series prediction models (RF, SVR, KNN, LGBM) that do not take into account the temporal dependence of data into stock price prediction. In addition, various data such as stock price data, technical indicators, financial statements indicators, buy sell indicators, short selling, and foreign indicators were combined to find optimal predictors and analyze major factors affecting stock price prediction by industry. Through the hyperparameter optimization process, the process of improving the prediction performance for each algorithm was also conducted to analyze the factors affecting the performance. As a result of feature selection and hyperparameter optimization, it was found that the forecast accuracy of the time series prediction algorithm GRU and LSTM+GRU was the highest.
KW - stock price prediction;non-time series;time series;deep learning;optimal predictors;hyperparameter
DO - 10.9708/jksci.2023.28.08.067
ER -

Min-Seob Song and Jung-Hye Min. (2023). Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data. Journal of The Korea Society of Computer and Information, 28(8), 67-75.

Min-Seob Song and Jung-Hye Min. 2023, "Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data", Journal of The Korea Society of Computer and Information, vol.28, no.8 pp.67-75. Available from: doi:10.9708/jksci.2023.28.08.067

Min-Seob Song, Jung-Hye Min "Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data" Journal of The Korea Society of Computer and Information 28.8 pp.67-75 (2023) : 67.

Min-Seob Song, Jung-Hye Min. Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data. 2023; 28(8), 67-75. Available from: doi:10.9708/jksci.2023.28.08.067

Min-Seob Song and Jung-Hye Min. "Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data" Journal of The Korea Society of Computer and Information 28, no.8 (2023) : 67-75.doi: 10.9708/jksci.2023.28.08.067

Min-Seob Song; Jung-Hye Min. Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data. Journal of The Korea Society of Computer and Information, 28(8), 67-75. doi: 10.9708/jksci.2023.28.08.067

Min-Seob Song; Jung-Hye Min. Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data. Journal of The Korea Society of Computer and Information. 2023; 28(8) 67-75. doi: 10.9708/jksci.2023.28.08.067

Min-Seob Song, Jung-Hye Min. Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data. 2023; 28(8), 67-75. Available from: doi:10.9708/jksci.2023.28.08.067

Min-Seob Song and Jung-Hye Min. "Comparison of Stock Price Prediction Using Time Series and Non-Time Series Data" Journal of The Korea Society of Computer and Information 28, no.8 (2023) : 67-75.doi: 10.9708/jksci.2023.28.08.067