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Perbandingan Pengelompokan Wilayah di Kalimantan Barat dan Kalimantan Tengah Berdasarkan Indikator Sosial Ekonomi Terkait Kemiskinan (Tahun 2022) Panawaristia, Brigitha; Sulistianingsih, Evy; Natalia, Desa Ayu
Jurnal Forum Analisis Statistik Vol. 5 No. 1 (2025): Jurnal Forum Analisis Statistik (FORMASI)
Publisher : Badan Pusat Statistik Provinsi Kalimantan Barat

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.57059/formasi.v5i1.94

Abstract

Kemiskinan menjadi tantangan utama di Kalimantan, dengan jumlah penduduk miskin mencapai 976,76 ribu jiwa pada Tahun 2022. Kalimantan Barat mencatat tingkat kemiskinan 6,73% sedangkan Kalimantan Tengah sebesar 5,25%. Penelitian ini dilakukan untuk mengelompokkan kabupaten/kota di kedua provinsi menggunakan variabel Produk Domestik Regional Bruto (PDRB) per kapita, upah minimum, rata-rata lama sekolah (RLS), gizi buruk, dan akses air bersih. Proses analisis diawali dengan standarisasi data, pengujian asumsi menggunakan KMO dan Bartlett’s, serta penentuan jumlah klaster optimal dengan metode Silhouette. Hasil analisis menunjukkan bahwa Kalimantan Barat terbagi menjadi tiga klaster, sementara Kalimantan Tengah memiliki enam klaster. Klaster dengan PDRB dan akses air bersih terendah membutuhkan perhatian lebih. Penelitian ini diharapkan dapat memberikan wawasan bagi pemerintah untuk menyusun kebijakan berbasis klaster yang terarah, sehingga mendukung pembangunan yang efektif dan meningkatkan kesejahteraan masyarakat di kedua provinsi.
VALUE AT RISK ANALYSIS ON BLUE CHIP STOCKS PORTFOLIO WITH GAUSSIAN COPULA Ardhitha, Tiffany; Sulistianingsih, Evy; Satyahadewi, Neva
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 3 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss3pp1739-1748

Abstract

Value at Risk (VaR) is a risk measurement tool to calculate the estimated maximum investment loss with a certain confidence level and period. VaR calculations using financial data are often not normally distributed, so the copula method is used, which is flexible on the assumption of normality on stock return data. Previous research discussed Gaussian copula using stocks from the telecommunications sector. In this research, using Gaussian copula on Blue Chip stocks. Blue Chip stocks have a good reputation and have a stable growth rate so they have a lower risk. Therefore, the research objective is to analyze the VaR portfolio of Blue Chip stock with Gaussian copula. This research uses the daily stock closing prices of BBNI and BBTN from November 2, 2020 to October 27, 2022. The analysis results suggested that a VaR portfolio using Gaussian copula with a confidence level of 90%, 95%, and 99%, respectively are 2.24%, 2.88%, and 4.02%. The value shows the percentage of investment risk that may be obtained in the next one-day period. This result also indicates that the higher the confidence level, the greater the VaR.
PRICING OF CALL OPTIONS USING THE QUASI MONTE CARLO METHOD Oktaviani, Indah; Sulistianingsih, Evy; Satyahadewi, Neva
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 4 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss4pp1949-1956

Abstract

A call option is a type of option that grants the option holder the right to buy an asset at a specified price within a specified period of time. Determining the option price period of time within a certain period of time is the most important part of determining an investment strategy. Various methods can be employed to determine the prices of options, such as Quasi-Monte Carlo and Monte Carlo simulations. The purpose of this research is to determine the price of European-type call options using the Quasi-Monte Carlo method. The data used is daily stock closing price data on the Apple Inc. for the period October 1, 2021, to September 30, 2022. Apple Inc. stock options in this study were chosen because it is the largest technology company in the world in 2022. The steps taken in this study are to determine the parameters obtained from historical data such as the initial risk-free interest rate (r), stock price (, volatility , maturity time (T), and strike price (K). Next is to generate Halton’s quasi-randomized sequence and simulate the stock price by substituting the parameters by substituting the parameters. Then proceed to calculate the call option payoff and estimate the call option price by averaging the call option payoff values. The results showed that the call option price of the company Apple Inc. using the Quasi-Monte Carlo with Halton’s quasi-randomized sequence on the 1000000th simulation with a standard error of 0,045 is $90,163. The call option price obtained can be used as a reference for investors in purchasing options to minimize losses from call option investments in that period.
APPLICATION OF FUZZY ANALYTICAL NETWORK PROCESS IN DETERMINING THE CHOICE OF AREAS OF INTEREST Tiara, Dinda; Sulistianingsih, Evy; Perdana, Hendra; Satyahadewi, Neva; Tamtama, Ray
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 4 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss4pp2253-2262

Abstract

The Untan Statistics Study Program offers students a choice of areas of interest to develop competencies, attitudes, and skills. This study aims to analyze the decision to determine the choice of field of interest according to lecturers and students using the Fuzzy Analytical Network Process (FANP) method. A combination of ANP methods and Fuzzy logic, FANP is used to model and analyze complex networks of several factors determining the choice of areas of interest. The step in this study begins with the determination of the criteria and sub-criteria used for tissue formation. Then a comparison was carried out in pairs using the Fuzzy scale, so that the calculation of the global weight value of each criterion and sub-criteria was obtained. The resulting weight can be used for decision making. Data in research affects the opinions of lecturers and students. The decision obtained using the FANP method in this study is in the opinion of lecturers and students that the fields of business and finance are priority alternatives with the highest weight of 44.5%. The second priority with a weight of 37.5%, namely social and industrial interests, and the environmental and disaster sector occupies the last priority with a weight of 18%.
VECTOR AUTOREGRESSIVE WITH OUTLIER DETECTION ON RAINFALL AND WIND SPEED DATA Lestari, Lisa; Sulistianingsih, Evy; Perdana, Hendra
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 18 No 1 (2024): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol18iss1pp0117-0128

Abstract

Vector Autoregressive (VAR) is a multivariate time series model that analyzes more than one variable where each variable in the model is endogenous. VAR is one of the models used in forecasting rainfall and wind speed. In observations of rainfall and wind speed, there are usually a series of events whose values are far from other observations or can be said to be outliers. The purpose of this study is to compare the VAR model on rainfall and wind speed data before and after outlier detection. This study uses secondary data, namely monthly data on rainfall and wind speed from 2019 to 2021. From the analysis results, the smallest AIC value obtained in the VAR model before outlier detection was 4.94, then the smallest AIC value in the VAR model after outlier detection was 0.25. Thus, it can be concluded that the best model is obtained in the VAR model after outlier detection seen from the smallest AIC value of the two VAR models.
ANALYSIS OF OPTIMAL PORTFOLIO FORMATION ON IDX30 INDEXED STOCK WITH THE MEAN ABSOLUTE DEVIATION METHOD Pratama, Aditya Nugraha; Satyahadewi, Neva; Sulistianingsih, Evy
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 18 No 3 (2024): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol18iss3pp1753-1764

Abstract

In investing in stocks, an investor must be able to form a stock portfolio to obtain optimal results. Factor analysis is one way to select stocks to form a portfolio. Factor analysis with Principal Component Analysis (PCA) extraction is used to summarize many variables into new smaller factors by producing the same information. The new factor formed is called a portfolio. This study aims to form an optimal portfolio using the Mean Absolute Deviation (MAD) method, which is an alternative to Markowitz optimization, and assess the stock portfolio's performance using the Sharpe index. This research uses IDX30-indexed stocks because the stocks in this index have high market capitalization and liquidity. The data used in this study are daily close stock price data on the IDX30 index from September 20, 2022, to September 20, 2023. The data used is secondary data obtained from the official website https://finance.yahoo.com/. From the analysis, three stock portfolios were obtained. With MAD optimization, the investment weight of each stock is obtained namely, in the first portfolio, the investment weight of AMRT shares is 21.95%, BBCA shares are 30%, BBNI shares are 18.05%, and BBRI shares are 30%. In the second portfolio, the investment weight of AKRA shares is 34.03%, BRPT shares are 40%, and MEDC shares are 25.97%. In the third portfolio, the investment weight of BMRI shares is 50%, and INDF shares are 50%. By measuring the performance of the Sharpe index, the optimal portfolio is obtained in the second portfolio with an expected return portfolio of 0.155% and a portfolio risk of 1.927%.
RISK ANALYSIS OF GOOGL & AMZN STOCK CALL OPTIONS USING DELTA GAMMA THETA NORMAL APPROACH Umiati, Wiji; Sulistianingsih, Evy; Martha, Shantika; Andani, Wirda
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 18 No 3 (2024): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol18iss3pp1879-1888

Abstract

Stocks, as investment products, tend to carry risks due to fluctuations. The tendency of stock prices to rise over time leads investors to opt for call options, which are one of the derivative investment products. However, call options are influenced by several factors that can pose risks and have nonlinear dependence on market risk factors. Therefore, methods are needed to measure the risk of call options, such as Delta Normal Value at Risk and Delta Gamma Normal Value at Risk. Delta and Gamma are part of Option Greeks, parameters that measure the sensitivity of options to various factors used in determining option prices with the Black-Scholes model. This study uses an approach with the addition of Theta, which can measure the sensitivity of options to time. This study aims to analyze Value at Risk with the Delta Gamma Theta Normal approach for call options on Google (GOOGL) and Amazon (AMZN) stocks. The analysis uses closing stock price data from September 7, 2022, to September 7, 2023, and three in-the-money and out-of-the-money call option prices. The study begins by collecting closing stock prices and call option contract components, testing the normality of stock returns, calculating volatility, , Delta, Gamma, and Theta, then calculating the Value at Risk. Based on the analysis, it is found that GOOGL and AMZN call options have a Value at Risk of $0.89588 and $0.92760, respectively, at a 99% confidence level with a strike price of $120. Furthermore, based on the comparison of Value at Risk between in-the-money and out-of-the-money call options, it can be concluded that out-of-the-money call options tend to have larger estimated losses.
GEOMETRIC BROWNIAN MOTION WITH JUMP DIFFUSION AND VALUE AT RISK ANALYSIS OF PT BANK NEGARA INDONESIA STOCKS Zakiah, Ainun; Sulistianingsih, Evy; Satyahadewi, Neva
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 19 No 1 (2025): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol19iss1pp617-628

Abstract

Investments in stocks are made to make a profit, where the higher the expected profit, the greater the risk undertaken. The return on investing in stocks can be influenced by changes in the price of stocks that are difficult to predict, which can lead to uncertainty in the value of the return and the risk of the stock. The application of the Geometric Brownian Motion (GBM) model with Jump Diffusion is crucial for enhancing the accuracy of stock price forecasting and risk analysis by incorporating price jumps resulting from external events within complex market dynamics. The data used in this study are the closing price data of the daily stock of PT Bank Negara Indonesia for the period 1 December 2022 to 31 January 2024, where the stock return data has a kurtosis value greater than 3 (leptokurtic) so that the data indicates a jump. The GBM with Jump Diffusion model was implemented to predict the stock price with a simulation repetition of 1000 times. The analysis shows that the GBM model with Jump Diffusion has an excellent accuracy rate with the smallest MAPE value of 0.86%. The average value of the VaR with Monte Carlo simulation obtained at the reliability levels of 80%, 90%, 95%, and 99% in a row is 0.96%, 1.53, 1.97%, and 2.64%. This result shows that the higher the confidence level used, the greater the risk.
COMPARISON ANALYSIS OF CLAYTON, GUMBEL, AND FRANK COPULA FOR MODELING THE DEPENDENCE BETWEEN BBCA CLOSING PRICE AND INDONESIA MACROECONOMIC FACTORS Hanin, Noerul; Satyahadewi, Neva; Sulistianingsih, Evy
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 19 No 4 (2025): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol19iss4pp2405-2418

Abstract

PT. Bank Central Asia Tbk is a company in Indonesia with the biggest market capitalization. These advantages attract investors to buy PT. Bank Central Asia Tbk (BBCA) shares. However, fluctuating share prices can lead to both gains and losses, where these are not entirely caused by the company’s finances, but also by the country’s macroeconomic conditions. Therefore, this study aims to examine the dependency between BBCA closing price and macroeconomic indicators, which are limited on only three macroeconomic variables, consists of inflation, interest, and USD-IDR exchange rate. This study compares the Clayton, Gumbel, and Frank copula to analyze the dependence characteristics between two non-normally distributed variables based on the highest log-likelihood value. The data used are monthly data from 2021 to 2023, consists of inflation and interest rate from Bank Indonesia website, USD-IDR exchange rate from Satu Data Kementerian Perdagangan website, alongside BBCA closing price from yahoo finance website. Based on the analysis, the best copula models to describe the relationship between each macroeconomic factor (inflation, interest, exchange rate) and BBCA closing price respectively is Clayton copula with parameter 2.042, Frank copula with parameter 10.3, and Frank copula with parameter 5.891. These findings indicate that inflation shows a strong dependence with BBCA closing price when both variables are low, while exchange rate and interest rate exhibit strong dependence with BBCA closing price when these variables are high. It provides valuable insights into the asymmetric relationships between macroeconomic conditions and stock prices, offering practical relevance for investors and policymakers.
AN EXAMINATION OF THE GREEN STOCK PORTFOLIO IN CONNECTION WITH THE 2024 INDONESIAN REPUBLIC PRESIDENTIAL GENERAL ELECTION Sulistianingsih, Evy; Martha, Shantika; Andani, Wirda; Agustono, Hendri; Pebriyandi, Rifki; Gunawan, Risky; Maharani, Cinta Priscillia
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 19 No 4 (2025): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol19iss4pp2543-2556

Abstract

The presidential election of the Republic of Indonesia occurs on a frequency of once every five years. The present work investigated the impact of the 2024 Presidential Election on the performance of the optimal stock portfolio constructed by K-Means Clustering during the first phase of stock selection. Subsequently, the portfolio will be evaluated using two distinct approaches, namely Mean Absolute Deviation (MAD) and Mean-Variance Efficient Portfolio (MVEP). Both techniques were employed to construct several portfolios throughout three time periods: before the Presidential Election (13 August 2023 to 13 February 2024) and after the Presidential Election (15 February to 15 April 2024 and 20 April 2024 to 20 May 2024). This was done by implementing a mechanism to manage the allocation of shares in order to optimize the portfolio. The analyzed data is historical data on daily green stock closing prices indexed on the SRI-KEHATI index. A portfolio was constructed and subsequently evaluated for its performance using the Sharpe Index. The findings of this study suggest that the upcoming 2024 general election for the presidency of the Republic of Indonesia had a favorable impact on the Indonesian capital market, particularly for stocks that are indexed by SRI-KEHATI. This criterion was proposed based on the observation that the average Sharpe ratio index for Period II and Period III exceeds the average Sharpe ratio index for Period I (prior to the election day). The most optimal portfolio examined in this study was the MVEP portfolio, mostly composed of assets in the primary consumer products industry, with a Sharpe ratio of 0.53586. Furthermore, the performance of portfolios in period III (after the election result release) was far superior to that of other portfolios examined in previous periods.
Co-Authors ., Putri Abdul Maulana Agustono, Hendri Alqadri, Syarifah Putri Tasya Vahira Alsa Muarti Amalia, Disya Recita Ananda, Adelia Andani, Wirda Anggi Septiawan Anis Faiqo Tuzzainiyah Anisa Shafarianti Annisa Auliarahmi Ardhitha, Tiffany Atlantic, Virginnia AYU ASTUTI, AYU Banu, Syarifah Syahr Dadan Kusnandar Debataraja, Naomi Nessyana Desdianti, Maycandra Deva Kurnia Aristi Dhandio, David Jordy Dinanti, Rahila Dara Eka Lestari Eka Wahyuning Dhewanty Elga Fitaloka Fadhilah Rizky Aulia Febrant Alfariz Febryanti, Winda Ferdi Afrizal Fiqriani, Rizha Aynul Fransiska Fransiska Gristia Aldilla Gunawan, Risky Hadi, Muhammad Silmi Hafifah, Nanda Hanin, Noerul Hazwani Dhiya' Atiq Viatmaja Hendra Perdana Imanni, Rahmania Andarini Hatti Immy, Immy Imro'ah, Nurfitri IMRO’AH, NURFITRI Imro’ah, Nurfitri Jessica Audrey Valeria Kamila, Diva Rahma Khairina Auliannisa Laksono Trisnantoro Lisa Lestari Louis Putra Jaya Maga, Fahmi Giovani Maharani, Cinta Priscillia Maresha Widya Muliadiasti Maria Artameivia Putri Martha, Shantika Matius Robi Meilandra, Irvan Meliana Pasaribu Melvin, Melvin Mely Amara Putri Misno Misno Muhammad Fikri Mutiara Nurisma Rahmadhani Nabilah, Niken Aushaf Nanda Shalsadilla Naomi Nessyana Debataraja Natalia, Desa Ayu Nazwa Nursyifa Neva Satyahadewi Nurfitri Imro'ah Nurfitri Imro’ah Oktaviani, Indah Oktitannia, Dea Panawaristia, Brigitha Pebriyandi, Rifki Pendra, Yunus Eduard Perangin Angin, Christi Alemsa Pitriani Pitriani - Pratama, Aditya Nugraha Pratama, Yogi Priani, Wina Putra, Fajar Rahmana Radinasari, Nur Ismi Rahmah, Mhaulia Rahmania Andarini Hatti Imanni Resti Arsanti Rifqi, Bhima Fairul Risma Junian Salsabila, Hana Salsabila, Yumna Hanum Satrya, Ya’ Aditya Dian Savitri, Dini Dwi Sela Karlina Setyo Wir Rizki Setyo Wira Rizki Shantika Martha Siti Aprizkiyandari, Nurul Qomariyah, Shantika Martha, Sriyana Sriyana Sulya Hikma Yulandari Supandi Supandi Susanti Susanti Syafitri Wulandari Tamtama, Ray Tiara, Dinda Umiati, Wiji Wahyu Kurniasari Wati, Setio Kusumo Westi Widiyatari Wicaksono, Juwan Prioabil Dwi Wirda Andani Wulandari, Afrilia Putri Yohanna Gabriel Richsita Yundari, Yundari Yundari, Yundari Yustosio, Darwis Yuyun Eka Pratiwi Zakiah, Ainun Zaria, Della