PENERAPAN GERAK BROWN GEOMETRIK PADA DATA SAHAM PT. ANTM

Darvi Mailisa Putri, Lilis Harianti Hasibuan

Abstract


Penelitian ini akan mengkaji aplikasi gerak Brown geometrik pada data harga saham PT. Antm. Data harga saham yang digunakan adalah data harga saham penutupan dari tanggal 02 Januari 2019 sampai dengan 30 Desember 2019 dengan periode harian. Dalam mengaplikasikan data harga saham PT. Antm pada gerak Brown geometrik diperlukan nilai return harga saham yang memenuhi asumsi dari gerak Brown geometrik. Selanjutnya melalui parameter-parameter yang diperoleh dari return harga saham dan membangkitkan data berdistribusi normal atau  sebanyak data yang diamati dan harga awal yang telah diketahui maka didapat plot hasil dari data harga saham PT. Antm yang telah memenuhi asumsi gerak Brown geometik.

Abstract

This research will examine the application of geometric Brownian motion on the stock price of  PT. Antm. The stock price data used is the closing stock price data from January 02nd 2019 to December 30th 2019 with a daily period. In applying the stock price of PT. Antm on geometric Brownian motion requires a stock price return value that satisfies the assumptions of geometric Brownian motion. Futhermore, through the parameters obtained from the stock price return and generate normally distributed data or   as much as the observed data and the known intial price, then we get the plot of  PT. Antm has fulfilled the assumption of geometric Brownian motion.

Keywords


gerak Brown geometric, saham, return

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