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All Journal Proximal: Jurnal Penelitian Matematika dan Pendidikan Matematika Jurnal Matematika
Dian Firmayasari S
Universitas Muhammadiyah Bulukumba
Mathematics

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Penerapan Rantai Markov Dalam Memprediksi Probabilitas Return INDF Dian Firmayasari S; Nurhalisa; Izhar Taufiq Hidayat
Jurnal Matematika Vol. 15 No. 2 (2025)
Publisher : Mathematics Study Program, Faculty of Mathematics and Natural Science, Udayana University Gedung UKM, Ruang UKM 8 Lt 1, Kampus Bukit Jimbaran, Badung-Bali.

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/JMAT.2025.v15.i02.p189

Abstract

Investing in stocks in the capital market not only provides profits but also involves various potential risks that may arise in stock investments. Investments are made to generate returns, so it is necessary to calculate the returns. In predicting stock prices. One method that can be used is the Markov chain method. Stock price movements can be categorized as a Markov chain, where patterns may repeat, but the exact timing of their occurrence cannot be precisely determined. The objective of this study is to predict the return on INDF stock from April 2025 to July 2025 using the Markov chain method. The research results indicate that, based on the obtained results, it can be concluded that by the 7th day, the INDF stock return has reached a steady state or stable condition. This means that the prediction of the INDF stock return no longer depends on the initial condition (first day) or the probability of the return does not change on subsequent days. In other words, the probability of the stock return experiencing a loss, remaining the same, or achieving a gain is 34% for the next day.
Penerapan Strategi Diversifikasi dalam Pembentukan Portofolio Optimal Menggunakan Model Markowitz Suriani M; Dian Firmayasari S; Harianto Harianto; Nur Sipa; Serli Alifia; Dirman Dirman
Proximal: Jurnal Penelitian Matematika dan Pendidikan Matematika Vol. 9 No. 2 (2026): Volume 9 Nomor 2 Tahun 2026
Publisher : Universitas Cokroaminoto Palopo

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30605/proximal.v9i2.8800

Abstract

Investments made by investors are generally influenced by the level of return and risk. Therefore, to address this risk, investors can conduct an analysis in advance by diversifying their portfolios. The purpose of this study is to form an optimal portfolio using the Markowitz model so that it can be used as a basis for investment considerations. The data used in this study is secondary data, namely monthly stock data from four companies listed on the Indonesia Stock Exchange (IDX) for the period January 2025 - January 2026 and whose shares are listed on the Liquid 45 (LQ45) index, obtained from the official Yahoo Finance website. The results of the study show that there are three portfolios that fall into the category of optimal portfolios based on the Markowitz efficient portfolio concept, namely portfolio 1 (a combination of PT Bank Syariah Indonesia Tbk and PT Bank Negara Indonesia (Persero) Tbk stocks), with the highest expected return of 10.47% and a risk of 8.12%. Portfolio 3 (a combination of PT Bank Syariah Indonesia Tbk and PT Bank Central Asia Tbk stocks), which offers a balance between return and risk with the same value of 7.45%. Portfolio 5 (a combination of PT Bank Tabungan Negara (Persero) Tbk and PT Bank Central Asia Tbk shares), with the lowest risk level of 5.92% and an expected return of 5.69%.
Penerapan Model Rantai Markov untuk Memprediksi Probabilitas Return Saham Indosat (ISAT) Riswandi; Fira; Dian Firmayasari S; Suriani M
Proximal: Jurnal Penelitian Matematika dan Pendidikan Matematika Vol. 9 No. 1 (2026): Volume 9 Nomor 1 Tahun 2026
Publisher : Universitas Cokroaminoto Palopo

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30605/proximal.v9i1.7961

Abstract

Pasar saham mempunyai peran penting dalam pembangunan nasional, menjadi sumber pembiayaan bagi dunia usaha atau masyarakat untuk investasi. Pergerakan saham adalah salah satu dari banyak masalah yang akan dihadapi selama proses investasi. Investor harus memprediksi return sahamnya karena pergerakan harga saham yang tidak pasti. Return saham Indosat menjadi objek dalam penelitian ini karena perusahaannya mampu menjaga fluktuasi saham. Penelitian ini merupakan penelitian kuantitatif dengan pendekatan deskriptif menggunakan analisis rantai Markov untuk memprediksi probabilitas perpindahan state return saham Indosat (ISAT) pada periode Maret–Mei 2025. Data yang digunakan berupa return harian saham ISAT. Hasil penelitian ini menunjukkan bahwa rata-rata return harian bernilai negatif dengan standar deviasi sebesar 5,54%. Prediksi satu periode ke depan menunjukkan probabilitas return naik sebesar 50%, sangat naik sebesar 25%,  turun sebesar 16,7%, dan sangat turun sebesar 8,3%. Prediksi probabilitas return saham untuk 5 periode ke depan hingga mencapai kondisi steady-state, menunjukkan hasil  probabilitas return naik sebesar 52,8%, sangat naik  sebesar 9 %, turun sebesar 24,7%, dan sangat turun sebesar 13,5%. Dengan demikian, analisis rantai Markov dapat memberikan gambaran kepada investor mengenai probabilitas return saham untuk jangka waktu tertentu berdasarkan ukuran data historis dan melalui pendekatan steady-state, sehingga dapat membantu  proses pengambilan keputusan investasi sesuai profil risiko masing-masing.
Co-Authors Dirman Dirman Fira Harianto Harianto Izhar Taufiq Hidayat Nur Sipa Nurhalisa Riswandi Serli Alifia Suriani M