Maulidya, Vivien (2020) Prediksi Harga Saham Menggunakan Geometric Brownian Motion Termodifikasi Kalman Filter dengan Konstrain. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Keuntungan yang menarik adalah salah satu daya tarik yang ditawarkan oleh investasi saham. Perubahan harga saham yang sulit diprediksi mengakibatkan nilai keuntungan yang tidak menentu, sehingga perlu dilakukan prediksi harga saham menggunakan metode peramalan. Model yang digunakan adalah Geometric Brownian Motion (GBM). Model ini dapat memprediksi pergerakan harga saham di masa yang mendatang berdasarkan data historis saham. Hasil peramalan dengan model Geometric Brownian Motion menghasilkan error yang cukup besar dikarenakan parameter yang bersifat konstan. Untuk memperkecil nilai error tersebut perlu ditambahkan metode filtering yaitu Kalman Filter dengan memberi konstrain pada variabel keadaannya menggunakan norm. Berdasarkan hasil yang diperoleh, penambahan konstrain pada model GBM-KF tidak mempengaruhi perubahan nilai MAPE secara signifikan. Nilai MAPE yang diperoleh termasuk dalam kriteria akurasi tinggi.
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An attractive profit is one of the attractions offered by stock investment. Changes in stock prices that are difficult to predict will result in uncertain value of profits, so it is necessary to predict the stock price using the forecasting method. The model used is Geometric Brownian Motion (GBM). This model can predict future stock price movements based on historical stock data. Forecasting results with the Geometric Brownian Motion model produce significant errors due to constant parameters. To reduce the error value, it is necessary to add a filtering method that is Kalman Filter by limiting the state variables using norm. Based on the results obtained, the addition of constraints on the GBM-KF model does not significantly influence the MAPE value. The values of MAPE obtained are included in the high accuracy category.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Saham, Konstrain, Geometric Brownian Motion, Kalman Filter, Stock, Constraint, Prediksi Harga Saham, Peramalan, Forecasting. |
| Subjects: | H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Vivien Maulidya |
| Date Deposited: | 21 Aug 2020 14:36 |
| Last Modified: | 12 Jun 2023 06:23 |
| URI: | http://repository.its.ac.id/id/eprint/79261 |
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