MODEL ORNSTEIN-UHLENBECK TERMODIFIKASI UNTUK MEMPREDIKSI HARGA KOMODITAS MINYAK MENTAH

TRININGSIH, YENNY (2017) MODEL ORNSTEIN-UHLENBECK TERMODIFIKASI UNTUK MEMPREDIKSI HARGA KOMODITAS MINYAK MENTAH. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Minyak mentah merupakan salah satu komoditas utama bagi perekonomian global. Perubahan harga komoditas minyak mentah yang fluktuatif menggambarkan bahwa harga komoditas minyak mentah bergerak mengikuti proses stokastik. Model Ornstein-Uhlenbeck termodifikasi merupakan model yang mengikuti mean reverting process atau proses pengembalian ke nilai rata-rata, yang artinya proses pengembalian harga komoditas minyak mentah ke nilai rata-rata dengan laju pengembalian, dan volatilitas berupa persentase perubahan harga komoditas minyak mentah. Pada tugas akhir ini, dalam memprediksi harga komoditas minyak mentah bulan Januari 2017 menggunakan model Ornstein-Uhlenbeck termodifikasi dengan nilai parameter rate of reversion 0,01413, drift 0,00128, dan volatilitas 0,03165 menghasilkan rata-rata prediksi harga komoditas minyak mentah senilai $42,23/barrel dengan prediksi harga tertinggi senilai $53,75/barrel dan prediksi harga terendah senilai $32,31/barrel. ================================================================================================== Crude oil is one of the main commodities for global economy. The changing commodity prices of crude oil that fluctuate illustrates that commodity price of crude oil moves follow a stochastic process. Modified Ornstein-Uhlenbeck model is a model which follows the mean reverting process or the reversion process to the mean value, which mean that the process of refunding crude oil commodity price to the average value with the rate of the reversion, and volatility that is the percentage change in commodity prices of crude oil. In this final project, in predicting the commodity price of crude oil in January 2017 using modified Ornstein-Uhlenbeck model with parameter values rate of reversion = 0,01413, drift = 0,00128, and volatilitas = 0,03165 obtained the average prediction of crude oil commodities worth $42,23/barrel with prediction of the highest price worth $53,75/barrel and prediction of the lowest price worth $32,31/barrel.

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: model Ornstein-Uhlenbeck termodifikasi, prediksi, harga komoditas minyak mentah, modified Ornstein-Uhlenbeck model, predicting, commodity price of crude oil
Subjects: H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models.
Q Science > QA Mathematics
Q Science > QA Mathematics > QA278.2 Regression Analysis
Divisions: Faculty of Mathematics and Science > Mathematics > (S1) Undergraduate Theses
Depositing User: - YENNY TRININGSIH
Date Deposited: 27 Jan 2017 02:49
Last Modified: 08 Mar 2019 06:39
URI: http://repository.its.ac.id/id/eprint/3487

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