Pemodelan Sektor Saham Perusahaan Jakarta Islamic Index dengan Pendekatan Markov Chain dan Markov Switching Model

Asmaranda, Novan (2018) Pemodelan Sektor Saham Perusahaan Jakarta Islamic Index dengan Pendekatan Markov Chain dan Markov Switching Model. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Model Markov Chain merupakan suatu konsep yang menarik untuk menggambarkan dan menganalisa kealamian suatu perubahan diakibatkkan oleh pergerakan state-state harga saham close Index PT. Unilever Indonesia Tbk, terkadang model Markov juga dipergunakan untuk meramalkan perubahan pada masa depan.Setelah dilakukan proses analisis Markov Chain dengan perubahan naik rendah sebesar 1070 data dengan probabilitas 0,43327252 menandakan data fluktuatif naik perharinya.Dengan Kondisi steady state untuk data PT. Unilever Indonesia Tbk maka setelah beberapa periode di masa depan probabilitas tersebut maka akan diperoleh nilai probabilitas suatu state akan bernilai tetap. Perubahan pola investasi sesuai berjalannya waktu dapat diketahui bahwa Regim optimum adala regime ke 2 karena telah stasioner.================================================================================================================================================================= Markov Chain model is an interesting concept to describe and analyze the naturalness of a change caused by the movement of state stock price close index PT. Unilever Indonesia Tbk, sometimes a Markov model is also used to predict changes in the future. After the Markov Chain analysis process with a low change of 1070 data with probability 0.43327252 indicates fluctuating data rise per day. With a steady state condition for data of PT. Unilever Indonesia Tbk then after some period in the future probably will be obtained the probability value of a state will be a fixed value. Changes in investment patterns over time can be known that the optimum Regime is the tworegime since it has been stationary

Item Type: Thesis (Undergraduate)
Additional Information: RSSt 519.2 Asm p
Uncontrolled Keywords: Stock, Markov Chain, Markov Switching, PT.Unilever IndonesiaTbk
Subjects: Q Science > QA Mathematics > QA274.7 Markov processes--Mathematical models.
Divisions: Faculty of Mathematics, Computation, and Data Science > Statistics > 49201-(S1) Undergraduate Thesis
Depositing User: Novan Asmaranda
Date Deposited: 04 Nov 2020 07:07
Last Modified: 04 Nov 2020 07:07
URI: https://repository.its.ac.id/id/eprint/58797

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