Prediksi Harga Saham dengan Metode Unscented kalman Filter

Safitri, Ardilla (2021) Prediksi Harga Saham dengan Metode Unscented kalman Filter. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pada zaman yang serba online ini masyarakat semakin menyadari pentingnya investasi. Salah satu instrument investasi yang banyak digunakan oleh masyarakat adalah saham. Saham merupakan bukti kepemilikan seseorang di sebuah perusahaan. Dalam memilih investasi saham yang tepat dibutuhkan cara untuk menilai harga saham agar dapat keuntungan yang optimal. Salah satu cara untuk menganalisis risiko bagi investor dalam berinvestasi adalah dengan memperkirakan harga saham. Tujuan dari Tugas Akhir ini adalah untuk memprediksi perkiraan harga saham sebuah perusahaan menggunakan metode Unscented Kalman Filter (UKF) yang dibandingkan dengan metode Kalman Filter (KF).
Pada penulisan Tugas Akhir ini diambil kasus harga saham Bank Central Asia (BBCA). Diperoleh bahwa hasil prediksi harga saham dengan metode Kalman Filter (KF) dan metode Unscented Kalman Filter mendekati dengan nilai yang sebenarnya berdasarkan nilai harga saham Bank Central Asia (BBCA) mulai dari 2 Januari 2020 – 31 Desember 2020. Dihasilkan nilai MAPE Unscented Kalman Filter (UKF) sebesar 0.000125% dan nilai MAPE Kalman Filter (KF) sebesar 0.000398%. Sehingga prediksi harga saham dengan metode Unscented Kalman Filter (UKF) dan Kalman Filter (KF) dapat dikatakan akurat. Berdasarkan hasil simulasi didapatkan bahwa metode Unscented Kalman Filter (UKF) lebih akurat dibandingkan metode Kalman Filter (KF) dalam memprediksi harga saham.
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In this online era, people are increasingly aware of the importance of investing. One of the investment instruments that is widely used by the public is stocks. Stocks is proof of a person's ownership in a company. In choosing the right stock investment, a way to assess stock prices is needed in order to get optimal profits. One of analyze risk for investors in investing is to estimate stock prices. The purpose of this final project is to predict the estimated stock price of a company using the Unscented Kalman Filter (UKF) method compared to the Kalman Filter (KF) method.
In this final project, the case of Bank Central Asia (BBCA) stock prices is taken. It was found that the stock price prediction results using the Kalman Filter (KF) method and the Unscented Kalman Filter method were close to the actual value based on the stock price value of Bank Central Asia (BBCA) starting from January 2, 2020 - December 31, 2020. The result of MAPE Unscented Kalman Filter (UKF) value is 0.000125% and the MAPE Kalman Filter (KF) value is 0.000398%. So that stock price predictions using the Unscented Kalman Filter (UKF) and Kalman Filter (KF) methods can be said to be accurate. Based on the simulation, it was found that the Unscented Kalman Filter (UKF) method was more accurate than the Kalman Filter (KF) method in prediction stock prices.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Prediksi Harga Saham, Saham, Unscented Kalman Filter, Kalman Filter, Stock Price Prediction, Stock, Unscented Kalman Filter, Kalman Filter.
Subjects:	Q Science Q Science > QA Mathematics Q Science > QA Mathematics > QA402.3 Kalman filtering.
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	Ardilla Safitri
Date Deposited:	26 Aug 2021 05:28
Last Modified:	26 Aug 2021 05:28
URI:	http://repository.its.ac.id/id/eprint/89676

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