Application of artificial neural network for predicting company financial performance in Indonesia stock exchange

Abstract

As the economy and financial market grow in Indonesia, the interest to invest and develop the market are steadily increasing. This provides an opportunity for company and investor to get more profit. The increasingly competitive market and dynamic condition require strategy to utilize investment. The ability to forecast company performance in financial sector is needed to keep up with the ever-growing market. The Artificial Neural Network (ANN) is one of the popular machine learning methods to be used as a forecasting method that requires a more complex model, uses more variable, and tends to be nonlinear. Hence, this method really suits to be adapted in financial sector, especially in the stock market. This study integrated the technical analysis and fundamental analysis together for the result. In addition, this study also shows that neural network as a predictive model could significantly outperform the minimum return.