Peramalan Harga Saham LQ45 Dengan Menggunakan Metode Kalman Filter

Arief, Robby Hasanul (2022) Peramalan Harga Saham LQ45 Dengan Menggunakan Metode Kalman Filter. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Saham adalah sebuah bukti kepemilikan nilai dari suatu perusahaan yang akhir-akhir ini sangatlah diminati oleh berbagai kalangan masyarakat.. Membeli saham menunjukkan bahwa seseorang memiliki hak kepemilikan atas perusahaan tersebut. Dari sekian banyak saham, hanya ada 45 saham yang dapat dikategorikan sebagai LQ45 tiap 6 bulan sekali. Indeks LQ45 merupakan urutan 45 saham yang telah lolos seleksi dan mempunyai likuiditas saham yang tinggi. Harga saham sangatlah fluktuatif. Oleh karena itu, penulis melakukan sebuah penelitian terhadap naik turunnya harga saham sehingga calon investor dapat meramalkan harga saham dan mengambil langkah yang tepat dalam melakukan investasi. Metode yang penulis gunakan untuk meramalkan harga saham adalah Kalman Filter. Peramalan dilakukan pada jenis saham GGRM (PT Gudang Garam Tbk) dan ICBP (PT Indofood CBP Sukses Makmur Tbk). Data yang diambil untuk penelitian ini bersumber dari website investing.id, periode Februari 2019 – Januari 2021. Penelitian dilakukan dengan menghitung MAPE (Mean Absolute Percentage Error) sebanyak 5 kali dengan hasil yang beragam. Kelima percobaan menghasilkan rata-rata MAPE GGRM sebesar 3,37064 dan ICBP sebesar 13,7284.
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Stock is a proof of ownership of a company which has recently piqued the interest of a lot of people from different backgrounds. Buying a company’s stock means the buyer has a partial ownership of the said company. Among the many kinds of stocks, there are only 45 kinds of stock that can be categorized into LQ45 every 6 months. LQ45 index is a list of 45 top stocks that have met the LQ45 criterias and have high liquidity. Stock prices are very fluctuative. Therefore, a research about the fluctuation of the stock prices had been conducted so that investors can predict stock prices and take the right step in investing their fortune. The method that is used in this research is the Kalman Filter method. There are two kinds of stock that are used as the base of this research, which are the stock of PT Gudang Garam Tbk (GGRM) and PT Indofood CBP Sukses Makmur (ICBP). The data used are from February 2019 – January 2021 period, and are taken from Investing.id website. This research was done by calculating the MAPE (Mean Absolute Percentage Error) 5 times with different results for each attempt. All 5 attempts showed that the average MAPE of GGRM is 3,37064 and ICBP is 13,7284.

Item Type:	Thesis (Undergraduate)
Uncontrolled Keywords:	Saham, LQ45, Kalman Filter, MAPE, Stock
Subjects:	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:	Robby Hasanul Arief
Date Deposited:	02 Feb 2022 00:42
Last Modified:	02 Feb 2022 00:42
URI:	http://repository.its.ac.id/id/eprint/92615

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