Rohmatul Fajriyah
Master Program in Statistics, Department of Statistics, Faculty of Mathematics and Natural Sciences, Universitas Islam Indonesia, Indonesia

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COMPANY VALUATION AND PORTFOLIO ANALYSIS BASED ON K-MEANS CLUSTERING IN KOMPAS 100 STOCKS INDEX Rohmatul Fajriyah; Yoel Christopher Tjen
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 20 No 1 (2026): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol20iss1pp0381-0396

Abstract

The capital market plays a vital role in investment, providing a platform for trading long-term financial instruments. Indonesia’s capital market has shown significant growth in recent years. This study aims not only to find stock clusters but to show that grouping stocks based on similar valuation characteristics can serve as a solid foundation for constructing superior-performing portfolios. The Kompas 100 index is used because it represents the most liquid and fundamentally stocks in Indonesia. The k-means clustering method is employed, and the number of clusters is determined using the elbow method. This approach resulted in four clusters, with the cluster identified as containing stocks with low PER, PBV, and PSR, representing the “best” portfolio each year based on valuation. Portfolios were formed from these clusters and compared to benchmark portfolios in Indonesia and globally. Global portfolios used as benchmarks include VSMPX, FXAIX, and SAM Equity. Over five years (2018–2022), the cluster-based portfolios outperformed Indonesian and global benchmarks in 2018, 2021, and 2022, while slightly underperforming global portfolios in 2019 and 2020 but still exceeding Indonesian benchmarks. This confirms that clustering techniques can deliver strong performance compared to conventional methods. A limitation of this study is that it focuses only on return performance without analyzing risk-adjusted returns, which future research should address.
A GENETIC ALGORITHM–PARTICLE SWARM OPTIMIZATION OPTIMIZED DOFCM APPROACH TO ENHANCE CLUSTERING AND OUTLIER DETECTION Sintia Afriyani; Rohmatul Fajriyah
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 20 No 2 (2026): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol20iss2pp1453-1472

Abstract

In the era of Industry 4.0, Big Data from the IoT demands advanced analysis techniques. Outlier detection is vital as anomalies may indicate sensor failures, fraud, or abnormal medical records. Fuzzy clustering methods such as DOFCM are often applied, yet their performance depends on accurate cluster center placement, which remains challenging. While several Fuzzy C-Means extensions address outlier sensitivity, most rely on single optimization strategies. The integration of PSO and GA into DOFCM has been rarely explored, making this study novel in evaluating how different evolutionary algorithms enhance clustering robustness and anomaly detection. This research introduces DOFCM-PSO and DOFCM-GA, tested on five benchmark datasets with outliers: Iris, Wine, Sonar, Diabetes, and Ionosphere. The Silhouette Coefficient (SC) was used as the evaluation metric. Results show that GA consistently outperforms PSO, with SC values improving by approximately 0.02–0.03 (equivalent to an increase of 8–12%) across datasets. For instance, the Iris dataset improved from 0.6029 (PSO) to 0.6291 (GA), while the Wine dataset increased from 0.2759 to 0.2958. In addition, evaluation of computational time and outlier detection further supports these findings. Although GA required slightly longer runtime than PSO, it substantially reduced the number of outliers while still achieving higher SC values. A similar pattern was observed in the Diabetes dataset, where GA decreased outliers from 20 to 7 with a modest SC improvement. These results indicate that PSO is more efficient in runtime, but GA provides more robust clustering by minimizing anomalies and producing better separation quality. Despite promising results, this study is limited by the relatively small dataset sizes and sensitivity to parameter settings, which may influence outcomes. Future work should apply the method to larger datasets and include additional clustering indices. Overall, DOFCM-GA can be considered a robust approach for fuzzy clustering in the presence of anomalies.