Implementation of the Gated Recurrent Unit (GRU) Model for Bank Mandiri Stock Price Prediction

Renda Sandi Saputra; Dede Irman Pirdaus; Moch Panji Agung Saputra

doi:10.46336/ijqrm.v6i1.894

Implementation of the Gated Recurrent Unit (GRU) Model for Bank Mandiri Stock Price Prediction

Renda Sandi Saputra, Dede Irman Pirdaus, Moch Panji Agung Saputra

Abstract

Stock price prediction is a crucial aspect in the financial world, especially in making investment decisions. This study aims to analyze the performance of the Gated Recurrent Unit (GRU) model in predicting Bank Mandiri (BMRI.JK) stock prices using historical data for five years. Stock data was collected from Yahoo Finance and normalized using Min-Max Scaling to improve model stability. Furthermore, the windowing technique was applied to form a dataset that fits the architecture of the time series forecasting-based model. The developed GRU model consists of two GRU layers with 128 neuron units, two dropout layers to prevent overfitting, and one output layer with one neuron to predict stock prices. Model evaluation was carried out using the Mean Squared Error (MSE), Root Mean Squared Error (RMSE), Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE), and R-squared (R² Score) metrics. The experimental results show that the GRU model is able to produce predictions with a high level of accuracy, indicated by the R² Score value of 0.9636, which indicates that the model can explain 96.36% of stock price variability based on historical data.

Keywords

Stock price prediction, gated recurrent unit (GRU), deep learning, time series, mandiri bank stock

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DOI: https://doi.org/10.46336/ijqrm.v6i1.894