PREDIKSI PERGERAKAN HARGA SAHAM MENGGUNAKAN -SVR DAN -SVR; STOCK PRICE MOVEMENT PREDICTION USING -SVR AND -SVR

Purwidhiati Agustiani, Abdurakhman

2015 | Skripsi | FMIPA

Stock price can be affected by a state’s political event. The impact of political events on stock price does not only apply at the day it happens but also days before and after the event takes place. Event study method is able to analyze significant events that affecting stock price for a few days around the events. Meanwhile, for predicting stock price during the event can be determined using two kinds of Support Vector Regression (SVR) methods, those are (epsilon-SVR) and (nu-SVR) with the help of single Kernel. Both SVR methods are able to predict the stock price without having classic assumption such as stationarity assumption and linearity assumption General Election in 2014 is one of the political events that considered capable to affect the price of Indeks Harga Saham Gabungan (IHSG). A total of 25 stocks that are members of IHSG are tested by event study before predicting the price of stock index by using and methods with the help of several kinds of Kernel such as Gaussian, Laplacian, Anova and Bessel. From the MSE (Mean Squared Error) result comparison of both methods, we can conclude that method using Kernel Laplacian is better to predict the price of IHSG during the General Election in 2014 than method.

Kata Kunci : Support Vector Regression, event study, stock, Kernel, nu-SVR, epsilon-SVR