GWO-Enhanced Hybrid Deep Learning with SHAP for Explainable TLKM.JK Stock Forecasting
DOI:
https://doi.org/10.52436/1.jutif.2025.6.4.5205Keywords:
Grey Wolf Optimization, Hybrid Deep Learning, SHAP, Stock Price Forecasting, TLKM.JKAbstract
This study presents an innovative Grey Wolf Optimization (GWO)-enhanced hybrid deep learning model integrating Convolutional Neural Networks (CNN), Bidirectional Long Short-Term Memory (BiLSTM), and Transformer, combined with SHAP for interpretable stock price forecasting of TLKM.JK from July 29, 2024, to July 29, 2025. Addressing non-linear market dynamics, the model evaluates seven experimental cases, with the GWO-optimized configuration (Case 2) achieving superior performance, with a Root Mean Squared Error (RMSE) of 75.23, Mean Absolute Error (MAE) of 58.14, and Directional Accuracy (DA) of 76.2%, surpassing the baseline by 17.4% in RMSE and 8.1% in DA. Notably, Case 2 excels during the April 2025 surge (11.8% increase, MAE 53, DA 82%) and the high-volume day of May 28, 2025 (531,309,500 shares, MAE 48), leveraging Volume (SHAP 0.45) and RSI (0.28) as key predictors. With a 4-hour convergence time on an NVIDIA RTX 3060 GPU, the model ensures computational efficiency and interpretability, making it a robust tool for traders. Despite limitations in single-stock focus and GPU dependency, this framework advances AI-driven financial forecasting by offering transparent, high-accuracy predictions, paving the way for multi-stock applications and real-time SHAP updates.
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Copyright (c) 2025 Hilmi Aziz Bukhori, Saiful Bukhori, Syaiful Anam, Feby Indriana Yusuf, Meylita Sari
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