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All Journal Media Statistika Statistika Historia: Jurnal Pendidik dan Peneliti Sejarah Paramita: Historical Studies Journal Jurnal Matematika & Sains Jurnal Sains Matematika dan Statistika Jurnal Sejarah dan Budaya Indonesian Journal of Artificial Intelligence and Data Mining Islamic Management: Jurnal Manajemen Pendidikan Islam FIKRAH Jurnal Aplikasi Statistika & Komputasi Statistik Fajar Historia: Jurnal Ilmu Sejarah dan Pendidikan Diakronika Handep: Jurnal Sejarah dan Budaya Euler : Jurnal Ilmiah Matematika, Sains dan Teknologi COMSERVA: Jurnal Penelitian dan Pengabdian Masyarakat International Review of Humanities Studies Jurnal Sejarah Indonesia Fikrah : Jurnal Pendidikan Agama Islam
Abdurakhman Abdurakhman
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Arts Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Library & Information Science Mathematics Social Sciences

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Optimisasi Robust Melalui Second Order Cone Programming dengan Aplikasi pada Penentuan Portofolio Optimal Supandi, Epha Diana; Rosadi, Dedi; Abdurakhman, Abdurakhman
Jurnal Matematika dan Sains Vol 19 No 3 (2014)
Publisher : Institut Teknologi Bandung

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

Pada makalah ini, kami meneliti mengenai optimisasi robust (robust optimization), metode ini berguna untuk menangani  masalah optimisasi dimana data permasalahan tidak diketahui dengan pasti tetapi diasumsikan berada dalam suatu himpunan ketidakpastian (uncertainty set). Selanjutnya Second Order Cone Programming (SOCP) digunakan untuk menyelesaikan masalah  optimisasi robust.  SOCP adalah masalah pemrograman konveks dimana fungsi tujuannya berbentuk linear dengan kendala second order cone. Penerapan SOCP pada pembentukan masalah portofolio mean variance berhasil dilakukan. Berdasarkan studi kasus, portofolio robust melalui SOCP lebih unggul dibandingkan portofolio klasik ditinjau dari capital gain. Kata Kunci : Optimisasi robust, Second order cone programming, Portofolio mean-variance.   Robust Optimization Through Second Order Cone Programming with Applications on the Establishment of Optimal Portfolio   Abstract In this paper, we studied about robust optimization, this method is useful for dealing with optimization problems where data are not known certainly but assumed belong to uncertainty set. Furthermore, Second Order Cone Programming (SOCP) is used to solve the robust optimization problems.  SOCP is a convex programming problem where the objective function in the form of linear with constraints in the form of second order cone. Application of SOCP in the formation of mean variance portfolio problem successfully conducted. Based on case studies,  robust portfolios through SOCP are superior compared to classical portfolios in terms of capital gain. Keywords: Robust optimization, Second order cone programming, Mean variance portfolio.
SELECTION OF INPUT VARIABLES OF NONLINEAR AUTOREGRESSIVE NEURAL NETWORK MODEL FOR TIME SERIES DATA FORECASTING Hermansah, Hermansah; Rosadi, Dedi; Abdurakhman, Abdurakhman; Utami, Herni
MEDIA STATISTIKA Vol 13, No 2 (2020): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/medstat.13.2.116-124

Abstract

NARNN is a type of ANN model consisting of a limited number of parameters and widely used for various applications. This study aims to determine the appropriate NARNN model, for the selection of input variables of nonlinear autoregressive neural network model for time series data forecasting, using the stepwise method. Furthermore, the study determines the optimal number of neurons in the hidden layer, using a trial and error method for some architecture. The NARNN model is combined in three parts, namely the learning method, the activation function, and the ensemble operator, to get the best single model. Its application in this study was conducted on real data, such as the interest rate of Bank Indonesia. The comparison results of MASE, RMSE, and MAPE values with ARIMA and Exponential Smoothing models shows that the NARNN is the best model used to effectively improve forecasting accuracy.
PEMILIHAN PORTFOLIO ROBUST DENGAN KLROBUST PORTFOLIO SELECTION WITH CLUSTERING BASED ON BUSINESS SECTOR OF STOCKS ASTERING BERDASARKAN SEKTOR USAHA SAHAM Gubu, La; Rosadi, Dedi; Abdurakhman, Abdurakhman
MEDIA STATISTIKA Vol 14, No 1 (2021): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/medstat.14.1.33-43

Abstract

In recent years there have been numerous studies on portfolio selection using cluster analysis in conjunction with Markowitz model which used mean vectors and covariance matrix that are estimated from a highly volatile data. This study presents a more robust way of portfolio selection where stocks are grouped into clusters based on business sector of stocks. A representative from each cluster is selected from each cluster using Sharpe ratio to construct a portfolio and then optimized using robust FCMD and S-estimation. Calculation Sharpe ratio showed that this method works efficiently on large number of data while also robust against outlier in comparison to k-mean clustering. Implementation of this method on stocks listed on the Indonesia Stock Exchange, which included in the LQ-45 indexed for the period of August 2017 to July 2018 showed that portfolio performance obtained using clustering base on business sector of stocks combine with robust FMCD estimation is outperformed the other possible combination of the methods.
VARIANCE GAMMA PROCESS WITH MONTE CARLO SIMULATION AND CLOSED FORM APPROACH FOR EUROPEAN CALL OPTION PRICE DETERMINATION Hoyyi, Abdul; Abdurakhman, Abdurakhman; Rosadi, Dedi
MEDIA STATISTIKA Vol 14, No 2 (2021): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/medstat.14.2.183-193

Abstract

The Option is widely applied in the financial sector.  The Black-Scholes-Merton model is often used in calculating option prices on a stock price movement. The model uses geometric Brownian motion which assumes that the data is normally distributed. However, in reality, stock price movements can cause sharp spikes in data, resulting in nonnormal data distribution. So we need a stock price model that is not normally distributed. One of the fastest growing stock price models today is the  process exponential model. The  process has the ability to model data that has excess kurtosis and a longer tail (heavy tail) compared to the normal distribution. One of the members of the  process is the Variance Gamma (VG) process. The VG process has three parameters which each of them, to control volatility, kurtosis and skewness. In this research, the secondary data samples of options and stocks of two companies were used, namely zoom video communications, Inc. (ZM) and Nokia Corporation (NOK).  The price of call options is determined by using closed form equations and Monte Carlo simulation. The Simulation was carried out for various  values until convergent result was obtained.
Pendekatan Sem Berbasis Komponen Menggunakan Generalised Structured Component Analysis (GSCA) Indi Febriana Suhriani; Abdurakhman Abdurakhman
Jurnal Sains Matematika dan Statistika Vol 5, No 2 (2019): JSMS Juli 2019
Publisher : Universitas Islam Negeri Sultan Syarif Kasim Riau

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24014/jsms.v5i2.7629

Abstract

Structural Equation Modeling(SEM) merupakan teknik pengembangan statistik yang menggabungkan antara analisis faktor, analisis jalur dan analisis regresi yang bertujuan untuk mengukur hubungan antara peubah laten dan indikatornya. SEMPartial Least Square (PLS) dan Generalized Structured Component Analysis (GSCA) adalah SEM yang berbasis varian atau sering disebut juga berbasis komponen merupakan metode analisis yang power full. Banyak asumsi SEM berbasis komponen bertujuan untuk mengembangkan teori atau membangun teori (orientasi prediksi), evaluasi GSCA dapat dilakukan dalam tiga tahap model pengukuran. Model struktural dan model keseluruhan. Tujuan penelitian ini adalah Menentukan prosedur model GSCA, Menentukan estimasi parameter dan mengimplementasikan menggunakan data tentang prestasi mahasiswa ditinjau dari karakteristik lingkungan kampus. Hasil dari penelitian ini adalah semua variabel indikator merupakan alat ukur yang valid dan reliabel untuk mengukur variabel latennya. Koefisien jalur dari sikap terhadap dosen dan motivasi sebesar 0.465 sehingga dapat disimpulkan bahwa, kualitas sikap terhadap dosen berpengaruh positif terhadap motivasi atau semakin tinggi sikap terhadap dosen maka motivasi mahasiswa juga semakin baik. Nilai FIT dan AFIT diatas 0.485 yang menunjukkan bahwa model mampu menjelaskan sekitar 48.5% variasi dari data. Nilai FIT terkoreksi (AFIT) yang diperoleh juga menunjukkan hasil yang tidak jauh berbeda yaitu 0.474 yang menunjukkan bahwa model mampu menjelaskan sekitar 47.4%.
Penerapan Estimasi Fast-MCD dan SOCP dalam Pembentukkan Portofolio Robust Mean Variance Epha Diana Supandi; Dedi Rosadi; Abdurakhman Abdurakhman
STATISTIKA: Forum Teori dan Aplikasi Statistika Vol 14, No 1 (2014)
Publisher : Program Studi Statistika Unisba

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29313/jstat.v14i1.1086

Abstract

Portofolio model Mean Variance (MV) menitikberatkan pada penggunaan vektor rata-rata danmatriks kovarian dalam pembentukkan portofolio optimal. pembentukkan portofolio menggunakanmodel MV menjadi optimal, karena Σ????dan ????̂ adalah Maximum Likelihood Estimator bagi Σ dan μ. Padakenyataanya data keuangan sering menyimpang dari kenormalan, sehingga pembentukkan portofoliorobust menjadi sangat penting. Pada penelitian ini akan membandingkan portofolio mean variancemelalui pendekatan Fast-MCD dan SOCP (second order cone programming). Hasil studi kasus padasaham yang terdaftar di Jakarta Islamics Index menunjukkan portofolio dengan pendekatanoptimisasi robust (SOCP) lebih unggul dibandingkan portofolio model MV maupun Fast MCD.
Pembentukan Portofolio Saham Menggunakan Klastering Time Series K-Medoid dengan Ukuran Jarak Dynamic Time Warping La Gubu; Dedi Rosadi; Abdurakhman Abdurakhman
Jurnal Aplikasi Statistika & Komputasi Statistik Vol 13 No 2 (2021): Jurnal Aplikasi Statistika dan Komputasi Statistik
Publisher : Pusat Penelitian dan Pengabdian kepada Masyarakat Politeknik Statistika STIS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34123/jurnalasks.v13i2.295

Abstract

Pada penelitian ini akan disajikan pembentukan portofolio saham dengan preprocessing data menggunakan klastering time series dengan ukuran jarak Dynamic Time Warping (DTW). Pertama-tama saham-saham dikelompokkan ke dalam beberapa klaster menggunakan klastering time series Partitioning Around Medoids (PAM) berdasarkan ukuran jarak DTW. Setelah proses klastering, saham dipilih untuk mewakili masing-masing klaster untuk membangun portofolio optimum. Saham yang dipilih dari masing-masing klaster merupakan saham yang memiliki Sharpe ratio tertinggi. Portofolio optimal ditentukan dengan menggunakan tiga model portofolio, yaitu: model portofolio MV klasik, model portofolio MV robust FMCD dan model portofolio robust S. Dengan menggunakan prosedur ini, dapat diperoleh portofolio optimum secara efisien bila ada banyak saham yang terlibat dalam proses pembentukan portofolio. Untuk mengukur kinerja portofolio yang terbentuk digunakan Sharpe ratio. Hasil kajian empiris menunjukkan bahwa kinerja portofolio yang dihasilkan dengan menggunakan klastering time series PAM dengan ukuran disimilaritas jarak DWT yang dikombinasikan dengan model portofolio MV klasik mengungguli kinerja portofolio yang dihasilkan kombinasi dengan model yang lain.
CREDIT SPREADS PADA REDUCED-FORM MODEL Di Asih I Maruddani; Dedi Rosadi; Gunardi Gunardi; Abdurakhman Abdurakhman
MEDIA STATISTIKA Vol 4, No 1 (2011): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (319.946 KB) | DOI: 10.14710/medstat.4.1.57-63

Abstract

There are two primary types of models in the literature that attempt to describe default processes for debt obligations and other defaultable financial instruments, usually referred to as structural and reduced-form (or intensity) models. Structural models use the evolution of firms’ structural variables, such as asset and debt values, to determine the time of default. Reduced form models do not consider the relation between default and firm value in an explicit manner. Reduced form models assume that the modeler has the same information set as the market - incomplete knowledge of the firm’s condition. that leads to an inaccessible default time. The key distinction between structural and reduced form models is not whether the default time is predictable or inaccessible, but whether the information set is observed by the market or not. Consequently, for pricing and hedging, reduced form models are the preferred methodology. Credit spreads are used to measure credit premium, which compensates risk-averse investors for assuming credit risk. Therefore, the credit spreads should remain positive. The higher credit risk assumed by the investors, the higher credit premium got be payed by them. In this paper, we have to to determine the credit spreads of reduced-form model.   Keywords: Reduced-Form Model, Hazard Rate, Credit Spreads  
The 1977 Election and Consolidation of the New Order Government in West Sumatra Israr, Israr; Zuhdi, Susanto; Abdurakhman, Abdurakhman
Paramita: Historical Studies Journal Vol 32, No 2 (2022): Social, Political, and Economic History
Publisher : History Department, Semarang State University and Historian Society of Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.15294/paramita.v32i2.29705

Abstract

This study aims to reveal the process and results of the 1977 Election in West Sumatra. Unlike at the national level taking place under intense competition, the second election during the New Order regime in West Sumatra seemed relatively “quiet.” Golkar comes out as the superior champion. The vote acquisition surpassed the Golkar votes nationally and passed the “Beringin” achievement in the 1971 Election. This study uses a structural history approach. The results show its specific dynamics in West Sumatra, which differed from the national elections. This study uses the historical method of heuristics, criticism, interpretation, and historiography. In the heuristic stage, data were obtained through library research, documentation and archives, field observations, and interviews with selected resource persons based on source criticism. The study results reveal that the 1977 Election in West Sumatra not only resulted in an increase in Golkar’s votes and the defeat of the “opposition party,” especially the PPP, but also signaled the continued consolidation of the New Order regime in Minangkabau. Penelitian ini bertujuan untuk mengungkap proses dan hasil Pemilu 1977 di Sumatera Barat. Berbeda dengan di tingkat nasional yang berlangsung dalam persaingan yang ketat, pemilu kedua pada masa Orde Baru di Sumatera Barat tampak relatif “tenang”. Golkar keluar sebagai juara unggul. Perolehan suara tersebut melampaui perolehan suara Golkar secara nasional dan melewati prestasi “Beringin” pada Pemilu 1971. Penelitian ini menggunakan pendekatan sejarah struktural. Hasil penelitian menunjukkan dinamika spesifik di Sumatera Barat yang berbeda dengan pemilu nasional. Penelitian ini menggunakan metode historis heuristik, kritik, interpretasi, dan historiografi. Pada tahap heuristik, data diperoleh melalui studi pustaka, dokumentasi dan arsip, observasi lapangan, dan wawancara dengan nara sumber terpilih berdasarkan kritik sumber. Hasil kajian mengungkapkan bahwa Pemilu 1977 di Sumatera Barat tidak hanya menghasilkan peningkatan perolehan suara Golkar dan kekalahan “partai oposisi” khususnya PPP, tetapi juga menandakan berlanjutnya konsolidasi rezim Orde Baru di Minangkabau. Cite this article: Israr, Zuhdi, S., Abdurakhman. (2022). The 1977 Election and Consolidation of the New Order Government in West Sumatra. Paramita: Historical Studies Journal, 32(2), 212-220. http://dx.doi.org/10.15294/paramita.v32i2.29705 
HIGHS AND LOWS IN THE RELATIONSHIP BETWEEN HAMKA AND MUAHAMMADIYAH DURING THE PERIOD OF GUIDED DEMOCRACY Akmal, Akmal; Abdurakhman, Abdurakhman
International Review of Humanities Studies Vol. 4, No. 3
Publisher : UI Scholars Hub

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Abstract

Following the dissolution of Masyumi in 1960, the political climate was rather unfriendly for the Islamic movement in Indonesia. Since 1959, Muhammadiyah had given up its special membership status in Masyumi, while some of its administrators pursued political careers elsewhere. Muhammadiyah maintained good relations with Soekarno, notably after Soekarno’s speech in Muhammadiyah’s 35th National Congress in 1962. Hamka, a devoted member of Muhammadiyah, was stuck in a rather unique position due to this progress of events. This study aims to describe the highs and lows of the relationships between Hamka and Muhammadiyah during the Guided Democracy era (1959-1966). Literature study will be conducted by examining official Muhammadiyah documents, Soekarno’s speeches, Hamka’s writings and other materials available. Evidently, at one point, Muhammadiyah gave Soekarno the title of ‘The Faithful Member’ (Anggota Setia) and ‘The Great Protector’ (Pengayom Agung) of Muhammadiyah, and the Muhammadiyah University awarded him with the title of honorary doctorate in the Philosophy of Tawheed Science field. Hamka then launched harsh criticisms to Muhammadiyah regarding its attitude and closeness towards Soekarno which he considered to be rather unnatural. Nevertheless, Muhammadiyah never revised its actions, while Hamka continued to be one of Muhammadiyah’s lifelong devoted member.
Co-Authors Abd Rahman Abdul Hoyyi Akmal Akmal Andarir, Andarir Apriyanti, Ira Arafah, A Latif Arung Dedi Rosadi Di Asih I Maruddani Di Asih I Maruddani Dwi Mulyatari emy siswanah, emy Epha Diana Supandi Febbrizal, Febbrizal Fitri Amanah Gubu, La Gunardi Gunardi Haghia, Raisye Soleh Hermansah Hermansah, Hermansah Herni Utami Heru Susetyo Hilimi, Nurindah Indah Manfaati Nur Indi Febriana Suhriani Israr, Israr Kurohman, M Taofik La Gubu Loliyana, Nilan M. Nasor, M. Mahabah, Intan Nasirin, Anas Anwar Nugroho, Tito Tri Nur Hidayah Prihatini, Farida Rahmadhani, Suri Rahman, Syahidah Sumayyah Santosa, Ayi Budi Siswantari Siswantari, Siswantari Siti Patimah Soraya Soraya Sunarti, Linda Tangkilisan, Yuda B Warisno, A wildan Insan Fauzi Yeni Kurniawati, Yeni Yon Machmudi Zuhdi, Susanto