Wahid, Abirohman (2018) Analisis Transaksi Perdagangan Saham untuk Mendeteksi Manipulasi Harga Saham dengan Outlier Detection. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Industri pasar modal di Indonesia terus berkembang. Salah satu produk pasar modal yang popular diperdagangkan adalah saham. Di negara dengan industri pasar modal yang sedang berkembang perdagangan saham rawan dari adanya manipulasi pasar. Dalam praktik perdagangan pasar modal, beberapa pelaku seperti penyelenggara membutuhkan pencarian perdagangan yang tidak wajar dengan tujuan untuk memenuhi perlindungan investor. Bagi investor dan penyelenggara pasar modal, dalam hal mencari transaksi mencurigakan dapat digunakan clustering dengan algoritma DBSCAN. Noise dari hasil clustering dengan DBSCAN menunjukkan transaksi outlier, yang cenderung tidak memiliki kemiripan nilai dan waktu transaksi dengan transaksi pada umumnya.
Pada hasil clustering ini, diperoleh pola transaksi saham yang termasuk outlier, terjadi marking the close. Hasil ini diharapkan dapat membantu untuk mendeteksi adanya manipulasi harga saham pada transaksi-transaksi outlier yang dilakukan oleh perantara efek.
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Capital Market in Indonesia is still developing. One of the most popular Capital Market product is stock. The Capital Market that still developing is vulnerable to fraud. In the practice of stock market trading, Capital Market need to search an unusual transaction to fulfil investor protection. Investors and Capital market providers can use DBSCAN clustering to find suspicious transactions. Noise from the clustering results with DBSCAN shows outlier transaction, which tend the transaction is not to be of similar in transaction value and transaction time with transactions in general.
The result of this clustering is obtained stock transaction patterns including outliers, it is marking the close occurs. These result is expected can help to detect stock price manipulation in outlier transactions by securities brokers.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSMa 519.53 Wah a |
| Uncontrolled Keywords: | Transaksi saham, data mining, DBSCAN, outlier detection. |
| Subjects: | Q Science Q Science > QA Mathematics Q Science > QA Mathematics > QA278.55 Cluster analysis Q Science > QA Mathematics > QA76.9.D343 Data mining. Querying (Computer science) |
| Divisions: | Faculty of Mathematics, Computation, and Data Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Abirohman Wahid |
| Date Deposited: | 13 Nov 2020 12:25 |
| Last Modified: | 29 Dec 2020 06:47 |
| URI: | http://repository.its.ac.id/id/eprint/58914 |
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