Analysis of L2 Regularization Hyper Parameter for Stock Price Prediction

Authors

  • Arjun Singh Saud Central Department of Computer Science & Information Technology, Tribhuvan University, Kathmandu
  • Subarna Shakya Department of Electronics and Computer Engineering, Pulchowk Campus, IOE, Tribhuvan University, Lalitpur

DOI:

https://doi.org/10.3126/jist.v26i1.37830

Keywords:

Gated recurrent unit, L2-regularization, Neural network, Regularization hyperparameter, Stock price

Abstract

Nowadays stock price prediction is an active area of research among machine learning researchers. One of the main problems with machine learning models is overfitting. Regularization techniques are widely used approaches to avoid over-fitted models. L2 regularization is one of the most popular and widely used regularization techniques. Regularization hyperparameter (ʎ) is one key parameter to be optimized for a well-generalized machine learning model. Hyperparameters can’t be learned by machine learning models during the learning process. We need to find their optimal value through experiments. This research work analyzed the L2 regularization hyperparameter used with a gated recurrent unit (GRU) network for stock price prediction. We experimented with five stocks from the Nepal Stock Exchange (NEPSE) and observed that stock price can be predicted with lower mean squared errors (MSEs) when the value of ʎ was around 0.0005. Therefore, this research paper recommended using ʎ=0.0005 with L2 regularization for stock price prediction.

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Published

2021-06-17

How to Cite

Saud, A. S., & Shakya, S. (2021). Analysis of L2 Regularization Hyper Parameter for Stock Price Prediction. Journal of Institute of Science and Technology, 26(1), 83–88. https://doi.org/10.3126/jist.v26i1.37830

Issue

Section

Research Article