Taufik, Ikbar Athallah (2024) Prediksi Indeks Harga Saham Syariah dan Risiko Kerugian Menggunakan Metode LSTM (Long Short-Term Memory) dan VaR (Value at Risk). Undergraduate thesis, UPN Veteran Jawa Timur.
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Abstract
Investment aims to increase the value of capital or earn additional income through asset growth, dividends or profits. One investment instrument that is in demand, especially among the Muslim community, is Islamic stocks, which are in accordance with Islamic principles that focus on a healthy economy. This research is focused on predicting Islamic stock prices using the Long Short-Term Memory (LSTM) method and measuring risk with Value at Risk (VaR) using the Cornish-Fisher Expansion (ECF) method. Stock price data from the food sector (PT Indofood), technology sector (Telkom Indonesia), and construction sector (Indocement) for the period 2018-2023 were analyzed. The results show that the ADAM model provides the best performance with the lowest prediction error rates for INTP and TLKM stocks (around 1.22%, 1.98%, and 1.41%). In addition, the SGD model shows limitations in accurate predictions with an error rate above 12%. VaR analysis reveals a slightly higher level of risk in INTP stocks, with a VaR value of around 2.85% at the 95% confidence level. Meanwhile, TLKM stock shows a lower level of risk, with a VaR of around 2.25% at the same confidence level. An in-depth understanding of the risk and growth characteristics of each stock, as well as the selection of the optimization model, are key in making wise investment decisions.
| Item Type: | Thesis (Undergraduate) | ||||||||||||
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| Subjects: | T Technology > T Technology (General) | ||||||||||||
| Divisions: | Faculty of Computer Science | ||||||||||||
| Depositing User: | Ikbar Taufik | ||||||||||||
| Date Deposited: | 19 Jan 2024 10:31 | ||||||||||||
| Last Modified: | 19 Jan 2024 10:31 | ||||||||||||
| URI: | http://repository.upnjatim.ac.id/id/eprint/20294 |
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