Prediksi Harga Komoditas Minyak Mentah Menggunakan Model Ornstein-Uhlenbeck

Sholikah, Ina Nur (2017) Prediksi Harga Komoditas Minyak Mentah Menggunakan Model Ornstein-Uhlenbeck. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

Text 1213100021-undergraduate_theses.pdf Restricted to Repository staff only Download (3MB) | Request a copy

Abstract

Minyak mentah merupakan salah satu komoditas utama dalam ekonomi global. Pergerakan harga komoditas minyak mentah yang fluktuatif menjadi gambaran bahwa harga komoditas minyak mentah bergerak mengikuti proses stokastik. Model Ornstein-Uhlenbeck merupakan salah satu mean reverting process yang digunakan untuk meramalkan harga komoditas minyak mentah yang pergerakannya mengikuti proses stokastik. Persamaan diferensial stokastik model Ornstein-Uhlenbeck diturunkan untuk menentukan rumus peramalan harga komoditas minyak mentah. Nilai drift yang didapatkan yaitu 0,00218581, volatilitas yaitu 0,036768531, dan rate of reversion yaitu 0,008233573. Dalam uji validasi model diperoleh nilai MAPE sebesar 1,64481 % yang menunjukkan tingkat akurasi peramalan yang tinggi. Peramalan harga
komoditas minyak mentah menggunakan model Ornstein-Uhlenbeck dilakukan dengan bantuan software matlab dan
100 % harga ramalan berada di dalam selang kepercayaan.
"=========================================================="
Crude oil is one of the main commodities in a global economy. The price movement of commodities fluctuating crude oil becomes an idea that the commodity price of crude oil moves follow a stochastic process. OrnsteinUhlenbeck models is one mean reverting process used to predict commodity prices of crude oil that the movement followed a stochastic process. Stochastic differential equations model of Ornstein-Uhlenbeck derived formulas for determining forecasting commodity prices of crude oil.The value of drift is 0, 00218581, volatility is 0,036768531, and rate of reversion is 0,008233573. In model validation test is get value of MAPE is 1,64481 % indicating a high level of accuracy of forecasting. Commodity price forecasting of crude oil using OrnsteinUhlenbeck models is carried out with the help of software matlab and 100 % forecasting price be in confidence interval.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Minyak Mentah, Fluktuatif, Proses Stokastik, Model Ornstein-Uhlenbeck, Mean Reverting Process, Peramalan
Subjects:	Q Science Q Science > QA Mathematics Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression
Divisions:	Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	- INA NUR SHOLIKAH
Date Deposited:	20 Apr 2017 03:22
Last Modified:	18 Dec 2017 01:46
URI:	http://repository.its.ac.id/id/eprint/3488

Actions (login required)

View Item