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All Journal IAES International Journal of Artificial Intelligence (IJ-AI) Media Statistika Sosiohumaniora Jurnal Ilmu Dasar Statistika Proceedings of Annual International Conference Syiah Kuala University - Life Sciences & Engineering Chapter CAUCHY: Jurnal Matematika Murni dan Aplikasi TELKOMNIKA (Telecommunication Computing Electronics and Control) Bulletin of Electrical Engineering and Informatics JUTI: Jurnal Ilmiah Teknologi Informasi Journal of the Indonesian Mathematical Society Jurnal Matematika & Sains Jurnal Optimasi Sistem Industri SEMIRATA 2015 International Journal of Advances in Intelligent Informatics Indonesian Journal of Science and Technology Jurnal Teknik Industri: Jurnal Keilmuan dan Aplikasi Teknik Industri Jurnal TAM (Technology Acceptance Model) BAREKENG: Jurnal Ilmu Matematika dan Terapan International Journal of Supply Chain Management Eksakta : Berkala Ilmiah Bidang MIPA Jurnal Aplikasi Statistika & Komputasi Statistik Journal of Islamic Monetary Economics and Finance Indonesian Journal of Electrical Engineering and Computer Science JINAV: Journal of Information and Visualization Journal of Applied Data Sciences Prosiding Seminar Nasional Official Statistics Jurnal Matematika Integratif Literatur : Jurnal Bahasa dan Sastra Jurnal TAM (Technology Acceptance Model)

Dedi Rosadi

Department Of Mathematics, Universitas Gadjah Mada

Author-ID : 364087

Agriculture, Biological Sciences & Forestry Arts Humanities Astronomy Biochemistry, Genetics & Molecular Biology Chemical Engineering, Chemistry & Bioengineering Chemistry Civil Engineering, Building, Construction & Architecture Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Dentistry Economics, Econometrics & Finance Education Electrical & Electronics Engineering Energy Engineering Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Law, Crime, Criminology & Criminal Justice Library & Information Science Materials Science & Nanotechnology Mathematics Mechanical Engineering Physics Social Sciences Transportation Other

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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

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.

THE COVARIATION FUNCTION FOR SYMMETRIC &ALPHA;-STABLE RANDOM VARIABLES WITH FINITE FIRST MOMENTS Dedi Rosadi
Journal of the Indonesian Mathematical Society Volume 15 Number 1 (April 2009)
Publisher : IndoMS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.22342/jims.15.1.39.1-12

In this paper, we discuss a generalized dependence measure which is designed to measure dependence of two symmetric α-stable random variables with finite mean(1<α<=2) and contains the covariance function as the special case (when α=2). Weshortly discuss some basic properties of the function and consider several methods to estimate the function and further investigate the numerical properties of the estimatorusing the simulated data. We show how to apply this function to measure dependence of some stock returns on the composite index LQ45 in Indonesia Stock Exchange.DOI : http://dx.doi.org/10.22342/jims.15.1.39.1-12

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

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.

Prediksi Harga Emas Dunia di Masa Pandemi Covid-19 Menggunakan Model ARIMA Dara Puspita Anggraeni; Dedi Rosadi; Hermansah Hermansah; Ahmad Ashril Rizal
Jurnal Aplikasi Statistika & Komputasi Statistik Vol 12 No 1 (2020): Journal of Statistical Application and Computational Statistics
Publisher : Pusat Penelitian dan Pengabdian Masyarakat Politeknik Statistika STIS

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34123/jurnalasks.v12i1.264

Penelitian ini bertujuan memodelkan serta memprediksi harga emas dunia di masa pandemi COVID-19. Penelitian ini juga hanya memasukkan nilai masa lampau dari harga emas dunia tanpa adanya pengaruh faktor eksogen(independen) pada model. Model yang dipergunakan adalah model Autoregressive Integrated Moving Average (ARIMA). Adapun data yang dipergunakan pada permodelan sebanyak 240 data observasi dimana data merupakan data bulanan harga emas dunia bulan Agustus 2000 hingga Juli 2020. Model terbaik untuk harga emas dunia ini adalah ARIMA(0,1,1) dengan nilai Mean Absolute Percentage Error (MAPE) sebesar 3,70%. Hasil prediksi harga emas dunia untuk bulan Agustus 2020 hingga Januari 2021 berturut-turut adalah sebesar 1930,046; 1945,651; 1961,381; 1977,240; 1993,227; 2009,343 US$/Troy Ons emas. Prediksi ini menunjukkan tren naik dengan rata-rata peningkatan selama periode tersebut (Agustus 2020-Januari 2021) sebesar15,8594 US$/Troy ons per bulannya.

Pengoptimuman Portofolio dengan Kendala Karakteristik Perusahaan Emiten Ezra Putranda Setiawan; Dedi Rosadi
Jurnal Teknik Industri Vol. 19 No. 2 (2017): Desember 2017
Publisher : Institute of Research and Community Outreach - Petra Christian University

Diversifikasi saham merupakan salah satu cara yang dilakukan investor untuk memperkecil risiko investasi. Pada umumnya, diversifikasi mengacu pada hasil perhitungan matematis berdasarkan nilai pengembalian (return) masing-masing saham, misalnya pada model mean-variance. Dalam penelitian ini dibahas modifikasi model mean-variance yakni dengan menambahkan kriteria yang berkaitan dengan perusahaan emiten, misalnya bidang usaha, status perusahaan, dan sebagainya. Sebagai contoh, investor dapat menentukan bahwa portofolio yang dibentuk hanya melibatkan sejumlah saham dari sektor pertambangan, sejumlah saham dari sektor perdagangan, dan sebagainya. Penyelesaian masalah pengoptimuman portofolio ini ditentukan dengan metode algoritma genetika. Studi kasus dilakukan pada sejumlah saham yang diperdagangkan di Bursa Efek Indonesia.

FRAMEWORK PENGEMBANGAN CITY BRANDING KABUPATEN BANTUL MENGGUNAKAN PENDEKATAN SMART TOURISM Sri Redjeki; Edi Faizal; Edi Iskandar; Dedi Rosadi; Khabib Mustofa
Jurnal TAM (Technology Acceptance Model) Vol 9, No 2 (2018): Jurnal TAM (Technology Acceptance Model)
Publisher : LPPM STMIK Pringsewu

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (746.299 KB)

Perkembangan sektor pariwisata secara terarah dan berkesinambungan dapat dijadikan sebagai salah satu solusi meningkatkan pertumbuhan ekonomi suatu daerah. Dengan berkembangnya sektor pariwisata, dapat meningkatkan citra sebuah daerah yang sekaligus dapat meningkatkan pendapatan asli daerah. Pengelolaan pariwisata yang baik oleh sebuah kota dapat menjadi sebuah branding yang dapat meningkatkan kunjungan wisatawan. Pencapaian ini dapat terpenuhi dengan cepat melalui penggunaan teknologi informasi dalam pengelolaan wisata. Kabupaten Bantul dikenal sebagai salah satu Kabupaten di Yogyakarta karena obyek wisata yang memikat para wisatawan dan saat ini sedang mengembangkan konsep smart city.Penelitian ini bertujuan untuk mengembangkan model dalam implementasi salah satu komponen smart city yaitu smart branding dengan menggunakan pendekatan smart tourism di Kabupaten Bantul. Model ini dapat dikembangkan karena wilayah Kabupaten Bantul merupakan salah satu tujuan wisata utama di Yogyakarta dengan berbagai jenis wisata yang ada. Total obyek wisata di Kabupaten Bantul sebanyak 113 obyek wisata. Smart tourism yang dimodelkan pada penelitian ini adalah sistem wisata integratif yang meliputi sistem berbasis mobile, sistem pemetaan wisata, sistem desa wisata dan sistem pengolahan data. Sistem ini dapat digunakan oleh pelaku dunia wisata, pengunjung wisata dan pihak pengambil keputusan di Kabupaten Bantul Dengan model pendekatan smart tourism maka Kabupaten Bantul dapat melakukan percepatan pengembangan smart city melalui salah satu komponen yaitu pengembangan city branding.

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

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

FORECASTING COVID-19 IN INDONESIA WITH VARIOUS TIME SERIES MODELS Gumgum Darmawan; Dedi Rosadi; Budi Nurani Ruchjana; Resa Septiani Pontoh; Asrirawan Asrirawan; Wirawan Setialaksana
MEDIA STATISTIKA Vol 15, No 1 (2022): 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.15.1.83-93

In this study, Covid-19 modeling in Indonesia is carried out using a time series model. The time series model used is the time series model for discrete data. These models consist of Feedforward Neural Network (FFNN), Error, Trend, and Seasonal (ETS), Singular Spectrum Analysis (SSA), Fuzzy Time Series (FTS), Generalized Autoregression Moving Average (GARMA), and Bayesian Time Series. Based on the results of forecast accuracy calculation using MAPE (Mean Absolute Percentage Error) as model evaluation for confirmed data, the most accurate case models is the bayesian model of 0.04%, while all recovered cases yield MAPE 0.05%, except for FTS = 0.06%. For data for death cases SSA and Bayesian Models, the best with MAPE is 0.07%.

Disaster Mitigation Efforts Using K-Medoids Algorithm and Bayesian Network Devni Prima Sari; Media Rosha; Dedi Rosadi
EKSAKTA: Berkala Ilmiah Bidang MIPA Vol. 23 No. 03 (2022): Eksakta: Berkala Ilmiah Bidang MIPA (E-ISSN : 2549-7464)
Publisher : Faculty of Mathematics and Natural Sciences (FMIPA), Universitas Negeri Padang, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24036/eksakta/vol23-iss03/304

Disaster mitigation is a series of efforts to reduce disaster risk. One of the disaster mitigation efforts is the supervision of the implementation of spatial planning. Knowing the level of damage to buildings in a region in the event of a disaster can supervise the implementation of spatial planning. To predict the level of damage to buildings in an area, we can use the Bayesian network (BN). There are several types of BN based on the variable type; discrete, continuous, and hybrid BN. A discrete BN is a model in which all the variables involved are discrete. Therefore, if there is a continuous variable, it is necessary to discretize the variable. In this paper, modifications are made to the algorithm commonly used in the clustering process to be used in the discretization process. The algorithm used is the K-Medoids algorithm, where this algorithm uses existing data as a representative of the cluster center. Then, the BN model and the K-Medoids algorithm were used to determine the level of damage to buildings due to the earthquake that occurred in West Sumatra in 2009. From 25,000 house damage data used in this study, we obtain an accuracy rate is 95.17%.

CAN ZAKAT AND PURIFICATION BE EMPLOYED IN PORTFOLIO MODELLING? Retno Subekti; Abdurakhman Abdurakhman; Dedi Rosadi
Journal of Islamic Monetary Economics and Finance Vol 8 (2022): Special Issue: Islamic Social Finance
Publisher : Bank Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21098/jimf.v8i0.1418

The Capital Asset Pricing Model (CAPM), which has interest rates in its specification, can be deemed non-Shariah compliant. Therefore, the sukuk rate has been proposed to replace these rates in CAPM. This study analyses portfolio modelling by involving two essential elements in Islamic principles, namely zakat and purification. The concept of purification has been applied in the Shariah stock selection process in Indonesia, while at the same time, zakat has been widely socialised in stock investment. The study highlights two models that consider the concept of zakat reduction and the purification factors for portfolios in the Indonesian stock market. According to the robustness tests conducted, the proposed Shariah-compliant asset pricing model developed in this study is valid. Zakat reduction and purification factor integration in mathematical models can be applied in portfolio modelling.

Co-Authors Abdul Hoyyi Abdurakhman Abdurakhman Abdurakhman Abdurakhman Abdurakhman Abdurakhman Adhitya Ronnie Effendie, Adhitya Ronnie Adi Marhadi Asrirawan Asuri, Afriza Budi Nurani Ruchjana Danardono Danardono Danardono, Danardono Dara Puspita Anggraeni Deasy Arisanty Dede Maryana Devni Prima Sari Di Asih I Maruddani Dina Agustina, Dina Edi Faizal Epha Diana Supandi Ezra Putranda Setiawan Ezra Putranda Setiawan Faihatuz Zuhairoh Fajri Farid Firmansyah, Hilmi Gubu, La Gumgum Darmawan Gumgum Darmawan Gunardi Gunardi Hendra Perdana Hermansah Hermansah Hermansah Hermansah Hermansah Hermansah Hermansah, Hermansah Herni Utami Herni Utami Iman Sanjaya Iskandar, Edi Izza Dinikal Arsy Jana, Padrul Khabib Mustofa La Gubu Malim Muhammad Media Rosha Muhammad Muhajir, Muhammad Pepi Novianti Resa Septiani Pontoh Retno Subekti Rizal, Ahmad Ashril Ruchjana, Budi N Rupilu, Rina Apriany Helen Wite Setialaksana, Wirawan - Sifriyani, Sifriyani Solly Aryza Sri Redjeki Sri Redjeki Ulfasari Rafflesia

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