PREDIKSI HARGA SAHAM MENGGUNAKAN MODEL JUMP DIFFUSION

    Isti Agustia Ilyas, - (2018) PREDIKSI HARGA SAHAM MENGGUNAKAN MODEL JUMP DIFFUSION. S1 thesis, Universitas Pendidikan Indonesia.

    Abstract

    Pergerakan harga saham pada dasarnya tidak dapat diprediksi secara pasti dan berfluktuasi seiring dengan bertambahnya waktu dan situasi yang berkembang, karena itu diperlukan model harga saham untuk periode yang akan datang. Salah satu metode yang digunakan untuk memprediksi harga saham di masa yang akan datang berdasarkan harga saham masa lalu adalah Jump Diffusion Model. Kesimpulan yang didapat dari penulisan skripsi ini adalah terbentuknya model jump diffusion untuk memprediksi harga saham Bank Negara Indonesia (persero) Tbk periode yang akan datang berdasarkan Persamaan Diferensial Stokastik (PDS) dan Proses Ito sehingga diperoleh model Jump Diffusion sebagai berikut:
    X ̂(t_i )=X ̂(t_(i-1) ) exp[(0.001808-〖0.014476〗^2/2-0.001097)(∆_t )+0.014476√(∆_(t ) Z_(i-1) )+N_i ]
    Model dan prediksi harga saham yang diperoleh memiliki Mean Absolute Percentage Error (MAPE) sebesar 1.761%, sehingga akurasi prediksi atau peramalan harga saham termasuk ke dalam kategori sangat baik.----Stock price movements are basically unpredictable and fluctuate as time and situation grow, therefore a stock price model is needed for the coming period. One method used to predict future stock prices based on past stock prices is the Jump Diffusion Model. The conclusion of writing this paper is the derivative of jump diffusion model to predict the future stock price of Bank Negara Indonesia (Persero) Tbk based on Stochastic Differential Equation (SDE) and Process Ito so that Jump Diffusion model is obtained as follows:
    X ̂(t_i )=X ̂(t_(i-1) ) exp[(0.001808-〖0.014476〗^2/2-0.001097)(∆_t )+0.014476√(∆_(t ) Z_(i-1) )+N_i ]
    The model and stock price predictions obtained have Mean Absolute Percentage Error (MAPE) of 1.761%, so prediction accuracy or stock price forecasting fall into very good category.

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    Official URL: http://repository.upi.edu
    Item Type: Thesis (S1)
    Additional Information: No. Panggil: S MAT IST p-2018 ; Pembimbing: I. Entit Puspita, II. Dewi Rachmatin ; NIM: 1401574
    Uncontrolled Keywords: Jump Diffusion Model, Return Saham, Investasi, Prediksi Harga Saham, Persamaan Diferensial Stokastik (PDS), Proses Ito, Stock Return, Investment, Stock Price Prediction, Stochastic Differential Equation (SDE), Ito Process.
    Subjects: H Social Sciences > HA Statistics
    H Social Sciences > HG Finance
    Q Science > QA Mathematics
    Divisions: Fakultas Pendidikan Matematika dan Ilmu Pengetahuan Alam > Program Studi Matematika - S1 > Program Studi Pendidikan Matematika
    Depositing User: Mr. Arif Rezkyana Nugraha
    Date Deposited: 15 Mar 2019 10:48
    Last Modified: 15 Mar 2019 10:48
    URI: http://repository.upi.edu/id/eprint/34143

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