Analisis Peramalan Harga Saham Menggunakan Metode Geometric Brownian Motion

Thahara, Titan Iftitah Puspa (2021) Analisis Peramalan Harga Saham Menggunakan Metode Geometric Brownian Motion. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Perbankan sebagai salah satu industri yang berperan besar dalam kontribusi nilai IHSG di Bursa Efek Indonesia. Kondisi saham yang terus mengalami fluktuasi setiap harinya membuat para investor yang akan menanamkan investasi di industri Perbankan perlu memperhatikan dan mempelajari terlebih dahulu data masa lalu suatu perusahaan yang akan dipilih untuk berinvestasi. Dalam Tugas Akhir ini telah dihitung prediksi harga saham BBRI, BMRI, dan BBCA pada data Oktober 2020 sampai dengan April 2021 dengan menggunakan model geometric Brownian motion. Hasil dari penelitian ini adalah prediksi harga saham BBRI, BMRI, dan BBCA pada bulan Mei 2021. Nilai MAPE yang dihasilkan dengan lintasan 100, 1000, dan 10000 dari model geometric Brownian motion masing-masing adalah untuk BBRI 1.35%, 1.25%, dan 1.10%, untuk BMRI 1.47%, 1.14%, dan 0.85%, untuk BBCA 0.76%, 0.66%, dan 0.61%. ================================================================================================ Banking is one of the industries that play a major role in the contribution of the JCI value on the Indonesia Stock Exchange. Stock conditions that continue to fluctuate every day make investors who want to invest in the banking industry need to pay attention and study the past data of a company that will be chosen to invest. In this final project, predictions of BBRI, BMRI, and BBCA stock prices have been calculated for the periode October 2020 to April 2021 using the model geometric Brownian motion. The results of this study are predictions of BBRI, BMRI, and BBCA stock prices in May 2021. The MAPE values generated with 100, 1000, and 10000 line chart of the model Brownian motion geometric are for BBRI 1.35%, 1.25%, and 1.10%, respectively, for BMRI 1.47%, 1.14%, and 0.85%, for BBCA 0.76%, 0.66 %, and 0.61%.

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: Perbankan, geometric Brownian motion, Banking, geometric Brownian motion
Subjects: Q Science > QA Mathematics > QA273.5 Stochastic geometry
Q Science > QA Mathematics > QA274.2 Stochastic analysis
Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry)
Q Science > QA Mathematics > QA371 Differential equations--Numerical solutions
Divisions: Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User: Titan Iftitah Puspa Thahara
Date Deposited: 26 Aug 2021 03:16
Last Modified: 26 Aug 2021 03:16
URI: https://repository.its.ac.id/id/eprint/89706

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