Journal article

Peramalan Data IHSG Menggunakan Fuzzy Time Series 1

Hansun S, Nusantara U ...see all

IJCCS, vol. 6, issue 2 (2012) pp. 79-88

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Abstract

Abstrak Fuzzy time series merupakan salah satu metode soft computing yang telah digunakan dan diterapkan dalam analisis data runtun waktu. Tujuan utama dari fuzzy time series adalah untuk memprediksi data runtun waktu yang dapat digunakan secara luas pada sembarang data real time, termasuk data pasar modal. Banyak peneliti yang telah berkontribusi dalam pengembangan analisis data runtun waktu menggunakan fuzzy time series, seperti Chen dan Hsu [1], Jilani dkk. [2], serta Stevenson dan Porter [3]. Dalam penelitian ini, di coba untuk menerapkan metode fuzzy time series pada salah satu indikator pergerakan harga saham, yakni data IHSG (Indeks Harga Saham Gabungan). Kinerja metode yang diusulkan dievaluasi dengan menghitung tingkat akurasi dan tingkat kehandalan metode fuzzy time series yang diterapkan pada data IHSG. Melalui pendekatan ini, diharapkan metode fuzzy time series dapat menjadi alternatif untuk memprediksi data IHSG yang merupakan salah satu indikator pergerakan harga saham di Indonesia.   Kata kunci – fuzzy time series, data runtun waktu, soft computing, IHSG   Abstract Fuzzy time series is one of the soft computing method that been used and implemented in time series analysis. The main goal of fuzzy time series is to predict time series data that can be used widely in any real time data, including stock market share. Many researchers have contributed in the development of fuzzy time series analysis, such as Chen and Hsu [1], Jilani [2], and Stevenson and Porter [3]. In this research, we will try to implement the fuzzy time series method in one of the stock market change indicator, i.e. the Jakarta composite index or also known as IHSG (Indeks Harga Saham Gabungan). The research is continued by calculating the accuracy and robustness of the method which has been implemented on IHSG data. By this approach, we hope it can be an alternative to predict the IHSG data which is an indicator of stock price changes in Indonesia.   Keywords – fuzzy time series, time series data, soft computing, IHSG

Author-supplied keywords

  • fuzzy time series
  • ihsg
  • soft computing
  • time series data

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Authors

  • Seng Hansun

  • Universitas Multimedia Nusantara

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