Contribution Indonesian composite index in pt telekomunikasi indonesia stock price model using 2-dimensional geometric brownian motion

Abstract

Theoretically, the movement of the Composite Stock Price Index (CSPI) is in line with the company's stock price movements. Hence, it would be appropriate to measure the CSPI contribution to the company's stock price regarding modeling the company's stock price. 2-dimensional Geometric Brownian Motion is believed to be the most appropriate model in this case. Therefore, this paper aims to project the share price of PT Telekomunikasi Indonesia in 2018 by considering the CSPI movement. The resulted mean absolute percentage error (MAPE) calculations lead to a conclusion that Prediction with 2-dimensional Geometric Brownian Motion (GBM) is more accurate than the individual modeling of stock prices of PT Telekomunikasi Indonesia. PT Telekomunikasi Indonesia Tbk's stock price modeling is more appropriately-used by taking heed on the movement of the Composite Stock Price Index. It is conclusive that the two dimensional geometric Brownian motion model provides an accurate prediction of PT Telekomunikasi Indonesia Tbk shares with MAPE is 1.980296%.