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Title: | Prediksi Harga Saham Consumer Goods Menggunakan Persamaan Black-Scholes Termodifikasi |
Other Titles: | Consumer Goods Stock Price Prediction Using the Modified Black-Scholes Equation |
Authors: | Hardhienata, Hendradi Kartono, Agus Rizaldi, Nanda Putra Niko |
Issue Date: | 2023 |
Publisher: | IPB University |
Abstract: | Besarnya volume perdagangan di pasar saham menyebabkan harga saham
yang semakin fluktuatif menyebabkan meningkatnya resiko yang ada sehingga
diperlukan analisa untuk menganalisis kemungkinan kenaikkan, penurunan, dan
harga saham di waktu mendatang. Penelitian ini bertujuan untuk memprediksi harga
saham consumer goods menggunakan persamaan Black-Scholes yang diselesaikan
dengan metode Runge-Kutta dan menganalisis pengaruh suku bunga terhadap hasil
prediksi. Penelitian dilakukan dengan membuat model berdasarkan persamaan
Black-Scholes termodifikasi dan diselesaikan menggunakan metode Runge-Kutta
orde empat. Hasil penelitian menunjukkan model memiliki MAPE 4.99% yang
diinterpretasikan sebagai sangat baik dengan nilai MDA 72%. dan hubungan suku
bunga dengan harga saham yang berbanding terbalik. The large volume of trading in the stock market causes stock prices to fluctuate, increasing the risk involved, therefore analysis is needed to analyse the possibility of increases, decreases, and stock prices in the future. This research aims to predict the price of consumer goods stocks using the Black-Scholes equation solved by the Runge-Kutta method and analyse the effect of interest rates on the prediction results. The research was conducted by creating a model based on the modified Black-Scholes equation and solved using the fourth-order Runge-Kutta method. The results showed that the model has a MAPE of 4.99% which is interpreted as very good with a MDA of 72% and the relationship between interest rates and stock prices is inversely proportional. |
URI: | http://repository.ipb.ac.id/handle/123456789/122322 |
Appears in Collections: | UT - Physics |
Files in This Item:
File | Description | Size | Format | |
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Cover_NANDA PUTRA NIKO RIZALDI.-2.pdf Restricted Access | Cover | 231.49 kB | Adobe PDF | View/Open |
NANDA PUTRA NIKO RIZALDI..pdf Restricted Access | Fulltext | 779.02 kB | Adobe PDF | View/Open |
Lampiran_NANDA PUTRA NIKO RIZALDI..pdf Restricted Access | Lampiran | 66.66 kB | Adobe PDF | View/Open |
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