PREDIKSI CRASH SAHAM MENGGUNAKAN LOG PERIODIC POWER LAW DENGAN NONLINEAR OPTIMIZATION (STUDI KASUS: PASAR SAHAM INDONESIA)

  • Ditta Febriany Sutrisna Telkom University
  • Jondri Jondri Telkom University
  • Aniq Atiqi Rohmawati Telkom University
https://doi.org/10.21108/INDOJC.2016.1.1.10
Abstract views: 653 , PDF downloads: 550

Abstract

Pergerakan indeks harga saham menjadi tolak ukur para investor untuk membuat keputusan yang akan diambil seperti menjual, mempertahankan, atau membeli saham tersebut. Akan tetapi kondisi harga saham yang tidak menentu atau naik turun, mengakibatkan pasar keuangan rentan terhadap crash harga saham. Pada tugas akhir ini, digunakan model Log Periodic Power Law dengan Nonlinear Optimization untuk memprediksi crash terhadap harga saham. Nonlinear Optimization terdapat dua tahap yaitu metode Tabu Search dan algoritma Levenberg-Marquardt kuadrat terkecil nonlinier. Metode Tabu Search untuk mendapatkan tebakan awal dari parameter model LPPL, dan algoritma Levenberg-Marquardt kuadrat terkecil nonlinier untuk mendapatkan nilai parameter dari model LPPL. Hasil prediksi crash saham dilihat dari distribusi perkiraan waktu krisis dengan peluang paling besar. Berdasarkan informasi dari data IHSG, krisis terjadi pada bulan Oktober 2008. Hasil prediksi menggunakan model LPPL dengan Nonlinear Optimization menunjukkan waktu crash harga saham mendekati nilai pada tanggal 23 Januari 2008. Nilai harapan dengan probabilitas waktu paling besar terjadi pada tanggal 31 Januari 2008.

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Indonesian Journal on Computing Volume 1, Issue 1, March 2016
Published
2016-03-31
How to Cite
Sutrisna, D. F., Jondri, J., & Rohmawati, A. A. (2016). PREDIKSI CRASH SAHAM MENGGUNAKAN LOG PERIODIC POWER LAW DENGAN NONLINEAR OPTIMIZATION (STUDI KASUS: PASAR SAHAM INDONESIA). Indonesia Journal on Computing (Indo-JC), 1(1), 107-114. https://doi.org/10.21108/INDOJC.2016.1.1.10
Issue
Vol. 1 No. 1 (2016): March, 2016
Section
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