Predicting daily precision improvement of Jakarta Islamic Index in Indonesia’s Islamic stock market using big data mining
Journal of Modelling in Management
ISSN: 1746-5664
Article publication date: 26 September 2023
Issue publication date: 13 March 2024
Abstract
Purpose
This paper aims to apply several data mining techniques for predicting the daily precision improvement of Jakarta Islamic Index (JKII) prices based on big data of symmetric volatility in Indonesia’s Islamic stock market.
Design/methodology/approach
This research uses big data mining techniques to predict daily precision improvement of JKII prices by applying the AdaBoost, K-nearest neighbor, random forest and artificial neural networks. This research uses big data with symmetric volatility as inputs in the predicting model, whereas the closing prices of JKII were used as the target outputs of daily precision improvement. For choosing the optimal prediction performance according to the criteria of the lowest prediction errors, this research uses four metrics of mean absolute error, mean squared error, root mean squared error and R-squared.
Findings
The experimental results determine that the optimal technique for predicting the daily precision improvement of the JKII prices in Indonesia’s Islamic stock market is the AdaBoost technique, which generates the optimal predicting performance with the lowest prediction errors, and provides the optimum knowledge from the big data of symmetric volatility in Indonesia’s Islamic stock market. In addition, the random forest technique is also considered another robust technique in predicting the daily precision improvement of the JKII prices as it delivers closer values to the optimal performance of the AdaBoost technique.
Practical implications
This research is filling the literature gap of the absence of using big data mining techniques in the prediction process of Islamic stock markets by delivering new operational techniques for predicting the daily stock precision improvement. Also, it helps investors to manage the optimal portfolios and to decrease the risk of trading in global Islamic stock markets based on using big data mining of symmetric volatility.
Originality/value
This research is a pioneer in using big data mining of symmetric volatility in the prediction of an Islamic stock market index.
Keywords
Acknowledgements
The authors would like to thank Laboratory of Quantitative Economics Applied to Development “Laboratoire d’Economie Quantitative Appliquée au développement (LEQAD)” and the General Directorate of Scientific Research and Technological Development “La Direction Générale de la Recherche Scientifique et du Développement Technologique (DGRSDT)” under the Algerian Ministry of Higher Education and Scientific Research “le Ministère de l’Enseignement Supérieur et la Recherche Scientifique (Algerie)” for sponsoring this research.
The authors would also like to thank Pr. Dr. Tarek Djeddi, Head of the Department of Quantitative Economics and Foresight in the National Higher School of Statistics and Applied Economics, Algeria.
Since acceptance of this article, the following author has updated his affiliation: Mohammed Ayoub Ledhem is at the Department of Quantitative Economics and Foresight in the National Higher School of Statistics and Applied Economics “Ecole Nationale Supérieure de Statistique et d’Economie Appliquée (ENSSEA)”, Kolea, Algeria.
Citation
Ledhem, M.A. and Moussaoui, W. (2024), "Predicting daily precision improvement of Jakarta Islamic Index in Indonesia’s Islamic stock market using big data mining", Journal of Modelling in Management, Vol. 19 No. 3, pp. 765-786. https://doi.org/10.1108/JM2-12-2022-0291
Publisher
:Emerald Publishing Limited
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