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http://repository.ipb.ac.id/handle/123456789/172110Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | Lesmana, Donny Citra | - |
| dc.contributor.advisor | Ruhiyat | - |
| dc.contributor.author | Indrayana, Nickolaus Gloryan | - |
| dc.date.accessioned | 2026-01-15T04:55:07Z | - |
| dc.date.available | 2026-01-15T04:55:07Z | - |
| dc.date.issued | 2026 | - |
| dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/172110 | - |
| dc.description.abstract | Salah satu instrumen investasi yang umum diperjualbelikan di pasar modal adalah saham. Namun, pergerakan harga saham yang fluktuatif akibat pandemi, bencana, dan perang menyulitkan para investor saham untuk memprediksi pergerakan aset investasinya. Berbagai model matematika seperti geometric Brownian motion dan Merton jump diffusion dapat digunakan untuk memodelkan pergerakan harga saham. Untuk menghadapi pergerakan harga saham yang fluktuatif perlu ditentukan pula model terbaik yang akan digunakan. Hasil analisis menggunakan harga saham BBCA dengan membandingkan nilai mean absolute percentage error menunjukkan bahwa model Merton jump diffusion mampu memodelkan pergerakan harga saham bulanan BBCA periode 2019-2024 lebih baik dibanding model geometric Brownian motion. | - |
| dc.description.sponsorship | null | - |
| dc.language.iso | id | - |
| dc.publisher | IPB University | id |
| dc.title | Pemodelan Harga Saham Menggunakan Geometric Brownian Motion dan Merton Jump Diffusion | id |
| dc.title.alternative | null | - |
| dc.type | Skripsi | - |
| dc.subject.keyword | Merton Jump Diffusion | id |
| dc.subject.keyword | Geometric Brownian Motion | id |
| dc.subject.keyword | prediksi harga saham | id |
| dc.subject.keyword | Mean absolute percentage error (MAPE) analysis | id |
| Appears in Collections: | UT - Actuaria | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| cover_G94190054_30a695387a814512ba13c0e469b8b478.pdf | Cover | 575.67 kB | Adobe PDF | View/Open |
| fulltext_G94190054_d7fb12716cc94bf8b699348d0822877c.pdf Restricted Access | Fulltext | 1.43 MB | Adobe PDF | View/Open |
| lampiran_G94190054_366121d3e00b4de3b6d4e151b64d703d.pdf Restricted Access | Lampiran | 2.14 MB | Adobe PDF | View/Open |
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