| dc.contributor.advisor | Hardhienata, Hendradi | |
| dc.contributor.advisor | Kartono, Agus | |
| dc.contributor.author | Anwar, Yahya S | |
| dc.date.accessioned | 2022-12-20T23:52:16Z | |
| dc.date.available | 2022-12-20T23:52:16Z | |
| dc.date.issued | 2022-12-15 | |
| dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/115618 | |
| dc.description.abstract | Indeks harga saham gabungan (IHSG) adalah serangkaian informasi historis yang berkaitan dengan pergerakan harga saham gabungan hingga tanggal tertentu dan mencerminkan suatu nilai sebagai ukuran kinerja saham gabungan di bursa efek. Model analisis Black-Scholes dan Schrodinger nonlinier dapat digunakan untuk prediksi pergerakan indeks harga saham dengan metode Runge Kutta orde empat. Penelitian ini bertujuan untuk mengetahui dan membandingkan nilai prediksi pergerakan indeks harga saham yang bersifat fluktuatif dari kedua model analisis. Hasil prediksi nilai pergerakan indeks harga saham dari 4 indeks uji (IDX30, JII70, LQ45, dan SRI-Kehati) menghasilkan persentase rata-rata error selama 24 periode sebesar 2,098% (Black-Scholes) dan 2,094% (Schrodinger Nonlinier). Hasil persentase rata-rata error selama 24 periode menghasilkan nilai Mean Absolute Percentage Error (MAPE) dibawah 5% dan perbedaan hasil nilai rata-rata error antara kedua model sebesar 0,004% sehingga kedua model analisis memiliki kemampuan model prediksi sangat baik. | id |
| dc.description.abstract | Composite Stock Price Index is a series of historical information related to the price movement up to a certain date and reflects as a performance measure value of the Composite Stock on the stock exchange. The Black-Scholes and Nonlinear Schrodinger analysis models can predict stock price index movements using the fourth order Runge Kutta method. This study aims to determine and compare the predictive value of fluctuating stock price index movements from the two analytical models. The prediction results of the stock price index movement from 4 test indices (IDX30, JII70, LQ45, and SRI-Kehati) resulted in the average percentage error for 24 periods of 2.098% (Black-Scholes) and 2.094% (Schrodinger Nonlinear). The results of the average percentage error for 24 periods produce a Mean Absolute Percentage Error (MAPE) value below 5% and the difference in the average error value between the two models is 0.004%. Hence, both analytical models have outstanding predictive model abilities. | id |
| dc.language.iso | id | id |
| dc.publisher | IPB University | id |
| dc.title | Perbandingan Model Black-Scholes dan Schrodinger Nonlinier untuk Analisis Indeks Harga Saham Gabungan (IHSG) | id |
| dc.title.alternative | Black-Scholes and Nonlinear Schrodinger Models Comparison for Composite Stock Price Index Analysis | id |
| dc.type | Undergraduate Thesis | id |
| dc.subject.keyword | Black-Scholes | id |
| dc.subject.keyword | Indeks | id |
| dc.subject.keyword | Runge Kutta orde empat | id |
| dc.subject.keyword | Schrodinger nonlinear | id |
