PREDIKSI HARGA KOMODITAS MINYAK MENTAH MENGGUNAKAN MODEL GEOMETRIC BROWNIAN MOTION

ZAKIA, HILMA INTAN (2017) PREDIKSI HARGA KOMODITAS MINYAK MENTAH MENGGUNAKAN MODEL GEOMETRIC BROWNIAN MOTION. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Minyak mentah merupakan salah satu sumber energi
utama dalam ekonomi global. Pergerakan harga minyak
mentah yang fluktuaktif menggambarkan bahwa harga minyak
mentah bergerak mengikuti proses stokastik. Dalam Tugas
Akhir ini telah dihitung prediksi harga minyak mentah
jenis West Texas Intermediate dengan menggunakan model
geometric Brownian motion. Hasil dari penelitian ini adalah prediksi harga minyak mentah bulan Desember 2016. Nilai MAPE yang dihasilkan dari prediksi harga minyak mentah bulan Desember 2016 dengan iterasi 100, 1000, dan 10000 dari model geometric Brownian motion masing-masing adalah 3,49%, 2,33%, dan 2,17%.

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Crude oil is one of the world's most crucial energy in
economy global. Crude oil price has fluctuacted movement
that follow stochastic process. This study will forecasting West Texas Intermediate crude oil price using geometric Brownian motion model. Based on the result that we get forecasting crude oil price in December 2016. The MAPE value from crude oil price forecasting using geometric Brownian motion model with 100, 1000, and 10000 iteration are 3,49%, 2,33%, and 2,17%.

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: minyak mentah, geometric Brownian motion, crude oil, geometric Brownian motion
Subjects: Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression
Divisions: Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User: - HILMA INTAN ZAKIA
Date Deposited: 27 Feb 2017 01:16
Last Modified: 05 Mar 2019 02:27
URI: http://repository.its.ac.id/id/eprint/2053

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