Prediksi Harga Komoditas Gas Alam Menggunakan Model Brownian Motion dan Geometric Brownian Motion

Indonesia

Authors

  • Aditya Putra Pratama Institut Teknologi Kalimantan
  • Yanuar Bhakti Wira Tama Institut Teknologi Kalimantan

DOI:

https://doi.org/10.30605/proximal.v6i2.2655

Keywords:

Brownian Motion, Proses Skolastik, Geometric Brownian Motion, Energi, Gas Alam

Abstract

Gas alam merupakan salah satu sumber energi di dunia yang mana pemanfaatannya di masa depan diperkirakan semakin tinggi dan menjadi sumber energi yang penting. Sebagaimana diketahui bahwa pergerakan dari harga gas alam yang fluktuaktif, hal ini mengindikasikan bahwa harga gas alam bergerak mengikuti proses stokastik. Pada penelitian ini dibahas mengenai prediksi dari harga gas alam dengan menggunakan model Brownian Motion dan Geometric Brownian Motion serta membandingkan hasil prediksi dari kedua model tersebut. Dengan menggunakan 1000 iterasi, nilai MAPE dari hasil prediksi harga gas alam menggunakan model Brownian Motion adalah sebesar  1,4505% dan untuk model Geometric Brownian Motion adalah sebesar 1,0867%.

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References

Dmouj, A. 2006. Stock price modelling:Theory and Practice. Vrije Universiteit Faculty of sciences Amsterdam,The Netherlands.

Estember,R.D.Maraa,M.J.R.2016.Forecasting of Stock Prices Using Brownian Motion Monte Carlo Simulation.Proceedings of the 2016 International Conference on Industrial Engineering and Operations Management Kuala Lumpur, Malaysia

Massey, F.J. 1951. The Kolmogorov-Smirnov Test for Goodness of Fit. Journal of the American Statistical Association. Vol.46, No.253,pp. 68-78

Ross, S.M. 2010. Introduction to Probability Models Tenth Edition. Academic Press is an Imprint of Elsevier.

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Published

2023-06-14

How to Cite

Aditya Putra Pratama, & Tama, Y. B. W. (2023). Prediksi Harga Komoditas Gas Alam Menggunakan Model Brownian Motion dan Geometric Brownian Motion: Indonesia. Proximal: Jurnal Penelitian Matematika Dan Pendidikan Matematika, 6(2), 73–81. https://doi.org/10.30605/proximal.v6i2.2655

Issue

Vol. 6 No. 2 (2023): Matematika dan Pendidikan Matematika: Permasalahan dan Solusinya

Section

Articles

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