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All Journal Media Statistika BIMASTER BAREKENG: Jurnal Ilmu Matematika dan Terapan JTAM (Jurnal Teori dan Aplikasi Matematika) Sarwahita : Jurnal Pengabdian Kepada Masyarakat Variance : Journal of Statistics and Its Applications Euler : Jurnal Ilmiah Matematika, Sains dan Teknologi CENDEKIA : Jurnal Ilmu Pengetahuan Parameter: Journal of Statistics Jurnal Forum Analisis Statistik
Andani, Wirda
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Humanities Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Energy Engineering Mathematics Mechanical Engineering Physics Social Sciences Transportation Other

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FORECASTING THE COMBINED STOCK PRICE INDEX (IHSG) USING THE RADIAL BASIS FUNCTION NEURAL NETWORK METHOD Fitriawan, Della; Satyahadewi, Neva; Andani, Wirda
VARIANCE: Journal of Statistics and Its Applications Vol 7 No 1 (2025): VARIANCE: Journal of Statistics and Its Applications
Publisher : Statistics Study Programme, Department of Mathematics, Faculty of Mathematics and Natural Sciences, University of Pattimura

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/variancevol7iss1page83-92

Abstract

The capital market is one of the most critical factors in national economic development in Indonesia, as many industries and companies have previously used the capital market as a medium to absorb investment so that their financial position can be strengthened. The main indicator that can reflect the performance of the capital market is the Composite Stock Price Index (IHSG). The IHSG can be used to assess the general situation occurring in the market. Data IHSG is data obtained from the past and used to predict the future, also called time series data. Predictions on IHSG data need to be made so that investors can easily see capital market movements and know the policies that will be taken in the future. The Radial Basis Function Neural Network (RBFNN) method is used. RBFNN aims to get more efficient results because this method does not need to make the data stationary. The analysis results were carried out on a secondary data sample size of 1114 data, which obtained the highest forecasting price of Rp6157,619 on August 2, 2023. Meanwhile, the lowest forecast price on August 5, 2023, is IDR 5564,828 from August 1, 2023, to August 5, 2023.
APPLICATION OF THE BLACK SCHOLES METHOD FOR COUNTING AGRICULTURAL INSURANCE PREMIUM PRICE BASED ON RAINFALL INDEX IN KAPUAS HULU REGENCY Marola, Geby; Satyahadewi, Neva; Andani, Wirda
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 2 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss2pp0819-0826

Abstract

High-intensity rainfall is one of the factors that can interfere with the state of agriculture. Agricultural insurance is an insurance that can be used to reduce risks related to agricultural losses such as rice production. Climate-based agricultural insurance is a management of climate-related risks. This study aims to determine the rainfall index and calculate the value of agricultural insurance premiums based on the climate index (rainfall) in Kapuas Hulu Regency using the Black Scholes method. In calculating the value of agricultural insurance premiums based on the rainfall index, it starts by calculating the value of the correlation coefficient between rainfall and rice production. Then the value of the rainfall index is obtained, which then the value of the index is tested for lognormality to meet the assumptions on the Black Scholes method, after which it calculates the ln return value of the index value obtained, the last step is to calculate the value of agricultural insurance premiums. Based on case studies, the results obtained are when the risk-free interest rate is 3.5% and rainfall is 54.23 mm the premium paid is Rp 2,386,824 and when the rainfall is 75.39 mm the premium paid is Rp 3,898,142. If the risk-free interest rate is 4% and the bulk is 54.23 mm, the premium paid is IDR 2,383,842, and when the rainfall is 75.39 mm the premium paid is IDR 3,893,272. When the risk-free interest rate is 5% and rainfall is 54.23 mm the premium paid is Rp 2,377,890 and if the rainfall is 75.39 mm the premium paid is Rp 3,883,551. So, the higher the rainfall, the greater the premium value payment. If the risk-free interest rate gets bigger then the premium payment will be smaller.
APPLICATION OF EXTREME LEARNING MACHINE METHOD ON STOCK CLOSING PRICE FORECASTING PT ANEKA TAMBANG (PERSERO) TBK Apriliyanti, Rita; Satyahadewi, Neva; Andani, Wirda
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 17 No 2 (2023): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol17iss2pp1057-1068

Abstract

Artificial neural networks are modeling methods that can capture complex input and output relationships. This method is widely used in forecasting and classification. However, in its application, there are some disadvantages in terms of low learning rate resulting in computational delay. Extreme Learning Machine (ELM) was introduced to overcome these problems. This method is believed to be able to produce more accurate forecasting results with a low level of forecasting error. In Indonesia, stocks are one of the most popular investments for investors. Stock prices tend to be volatile which is influenced by the amount of market supply and demand, so forecasting analysis is needed to minimize the risks that may occur. This research applies the ELM method to forecast the closing price of PT ANTM Tbk shares from January 1, 2018 - October 31, 2022. The data used is secondary data obtained from the official website https://id.investing.com. The ELM method is applied by dividing training data for ELM modeling and testing data used in the forecasting process. The model architecture of the ELM method uses a combination of inputs obtained from the PACF plot, hidden nodes with a range of 5-50, and one output layer. The results of this study show excellent forecasting accuracy in terms of forecasting. This is measured by the MAPE value of 0.0358. The architecture formed in the ELM process is one input, 31 hidden nodes, and one output. Forecasting the closing price of PT ANTM Tbk shares with 1-31-1 architecture produces a forecasting value that shows a low decline, but is quite stable.
CLASSIFICATION OF STUDENT GRADUATION STATUS USING XGBOOST ALGORITHM Dwinanda, Maria Welita; Satyahadewi, Neva; Andani, Wirda
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/barekengvol17iss3pp1785-1794

Abstract

College is an optional final stage in formal education. At this time, universities are required to have good quality by utilizing all the resources they have. Therefore, efforts are needed to help the faculty and study program make policies and decisions. One of the efforts that can be made is to classify student graduation status as early as possible to increase the number of students graduating on time. Thus, a classification algorithm is needed to avoid overfitting and produce good accuracy. The purpose of this study was to classified the student graduation status of the Statistics Untan Study Program using the XGBoost algorithm. XGBoost is an ensemble algorithm obtained through the development of gradient boosting. XGBoost has several features that can be used to prevent overfitting, but it can only process numerical data. Therefore, 140 numerical data were adjusted using the dummy technique in this study. The resulting XGBoost classification model is optimal at the number of rounds is 3 and the number of folds is 5. Based on the performance evaluation of the XGBoost algorithm, an accuracy of 75,00%, precision of 88,89%, sensitivity of 76,19% and specificity of 71,43% were obtained. Thus, the performance of the XGBoost algorithm is classified as good.
APPLICATION OF K-MEANS++ WITH DUNN INDEX VALIDATION OF GROUPING WEST KALIMANTAN REGION BASED ON CRIME VULNERABILITY Sary, Rifkah Alfiyyah; Satyahadewi, Neva; Andani, Wirda
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 18 No 4 (2024): BAREKENG: Journal of Mathematics and Its Application
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30598/barekengvol18iss4pp2283-2292

Abstract

Crime is an unlawful behavior that will be given a punishment or sanctions based on Kitab Undang-Undang Hukum Pidana (KUHP) or other regulations in Indonesia. One of the provinces in Indonesia, namely West Kalimantan reported that criminal cases are increasing in 2021 and 2022. One of the solutions to minimize that case is grouping the district and city in West Kalimantan based on the level of vulnerability so the authority can be more responsive in solving these problems. The grouping can be done by cluster analysis. This analysis aims to group some objects based on the similarity of characteristics. K-Means++ is one of the methods of cluster analysis. K-Means++ is the development of K-Means, in which K-Means++ is smarter than K-Means in selecting the initial centroid because only one initial centroid is chosen randomly, and the initial centroids of the other clusters are done through calculations. This research uses secondary data from BPS of West Kalimantan, consisting of 10 variables. This research aims to form clusters to determine the level of vulnerability of each district and city in West Kalimantan. The selection of the optimal cluster is done by evaluating the cluster. One of these evaluations is the Dunn Index. Based on the analysis results, the optimum number of clusters is with a Dunn Index value of 0.55. The first cluster is categorized as non-vulnerable with ten members, the second cluster as vulnerable with three members, and the third cluster as very vulnerable with one member.
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.
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.
The Application of Delta Gamma Normal Value at Risk to Measure the Risk in the Call Option of Stock Astuti, Ayu; Sulistianingsih, Evy; Martha, Shantika; Andani, Wirda
JTAM (Jurnal Teori dan Aplikasi Matematika) Vol 8, No 2 (2024): April
Publisher : Universitas Muhammadiyah Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31764/jtam.v8i2.19669

Abstract

Call options of stock have a nonlinear dependence on market risk factors, thus encouraging the development of a method capable of measuring the risk of call option of stock, namely the Delta Gamma Normal Value at Risk (DGN VaR) method. The DGN VaR method can provide a more accurate VaR estimate than Delta Normal VaR (DN VaR) because of the Delta and Gamma sensitivity measures in the formula. The DGN VaR method uses the second-order Taylor Polynomial approach to approximate the return of stock price underlying the call option. This research applies the DGN VaR method to analyze the risk of call options of Atlassian Corporation (TEAM) and MicroStrategy Incorporated (MSTR). Both companies operate in the technology sector and are among the top 100 largest software companies based on market capitalization for the analysis period September 21, 2022 to September 21, 2023. The analyzed options in this research consist of in-the-money and out-of-the-money options with several strike prices (K). For in-the-money options, the strike prices are $105, $110, and $115 for TEAM, and $150, $160, and $170 for MSTR, while for out-of-the-money options, the strike prices are $190, $195, and $200 for TEAM, and $330, $340, and $350 for MSTR with varying confidence levels of 80%, 90%, 95%, and 99%. Based on the results of the analysis, the DGN VaR for the analyzed in-the-money option has a greater value than the DGN VaR for the analyzed out-of-the-money option.
APPLICATION OF DELTA GAMMA (THETA) NORMAL APPROXIMATION IN RISK MEASUREMENT OF AAPL'S AND GOLD'S OPTION Sulistianingsih, Evy; Martha, Shantika; Andani, Wirda; Umiati, Wiji; Astuti, Ayu
MEDIA STATISTIKA Vol 16, No 2 (2023): 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.16.2.160-169

Abstract

The option value has a nonlinear dependence relationship on risk factors existing in the capital market. Therefore, this paper considered utilizing Delta Gamma (Theta) Normal Approximation (DGTNA) as a nonlinear approach to determine the change of profit/loss of a European call option to assess the option risk. The method uses the second order of Taylor Polynomial around the stock price underlying the option to approximate the option profit/loss, which is crucial to construct the VaR based on DGTNA. VaR based on DGTNA also considered three Greeks, namely Delta, Gamma, and Theta, known as sensitivity measures in option. This research applied VaR based on DGTN approximation to analyze the European call option of Apple Inc (AAPL) and Barrick Gold Corporation (GOLD) for several strike prices. The performance of DGTN VaR analyzed by Kupiec Backtesting summarized that in this case, DGTN VaR provides the best risk assessment over different confidence levels (80, 90, 95, and 99 percent) compared to Delta Normal VaR and Delta Gamma Normal VaR.
KOMPARASI ALGORITMA K-NEAREST NEIGHBOR DENGAN EUCLIDEAN DISTANCE DAN MANHATTAN DISTANCE UNTUK KLASIFIKASI STUNTING BALITA (Studi Kasus : Puskesmas Kelurahan Parit Mayor) Salsabila, Salsabila; Martha, Shantika; Andani, Wirda
BIMASTER : Buletin Ilmiah Matematika, Statistika dan Terapannya Vol 13, No 2 (2024): Bimaster : Buletin Ilmiah Matematika, Statistika dan Terapannya
Publisher : FMIPA Universitas Tanjungpura

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26418/bbimst.v13i2.77245

Abstract

Salah satu permasalahan serius di bidang kesehatan balita yang dihadapi Indonesia kini adalah stunting. Stunting adalah kondisi ketika balita mengalami gagal tumbuh disebabkan kekurangan gizi kronis, mengakibatkan balita sangat pendek dibandingkan balita normal seusianya. Berdasarkan standar WHO, prevalensi stunting harus dibawah 20%. Sementara di Indonesia pada tahun 2022, angka balita stunting mencapai 21,6%. Berdasarkan permasalahan tersebut, terdapat berbagai penelitian mengenai stunting balita yang salah satunya dengan analisis statistik. Pengolahan data berjumlah besar dapat dilakukan menggunakan pengklasifikasian dengan algoritma tertentu, sehingga hasil diperoleh dengan cepat dan akurat untuk memprediksi bahwa balita tersebut masuk dalam status penderita stunting atau tidak. Penelitian ini menggunakan metode K-Nearest Neighbor yang bertujuan membandingkan jarak Euclidean dan Manhattan untuk memperoleh pengukuran jarak yang baik pada klasifikasi stunting balita di Kelurahan Parit Mayor, Kota Pontianak. Hasil pemeriksaan status gizi balita tahun 2019 pada Kecamatan Pontianak Timur, kasus tertinggi yaitu di Kelurahan Parit Mayor sebesar 33,5%. Sampel yang digunakan yaitu data status gizi balita berusia 24-59 bulan dengan jumlah 385 data yang dimana pada data aktual terdapat 32 balita terdeteksi stunting. Diperoleh hasil pengukuran jarak terbaik menggunakan k = 3. Oleh karena itu, disimpulkan bahwa Manhattan distance memberikan performa yang baik dalam klasifikasi stunting balita di Kelurahan Parit Mayor pada kunjungan Februari 2023 dengan nilai akurasi 97,39% lebih tinggi daripada Euclidean distance yang memiliki akurasi sebesar 95,65% dengan selisih 1,74%.Kata Kunci : stunting, klasifikasi, k-nearest neighbor, Euclidean, Manhattan
Co-Authors Agustono, Hendri Amarrullah, Rido Andini, Syarifah Anggria, Vini Apriliyanti, Rita Arti, Reyana Hilda AYU ASTUTI, AYU Dadan Kusnandar Debataraja, Naomi Nessyana Dwinanda, Maria Welita Evy Sulistianingsih Fitriawan, Della Gunawan, Risky Handayany, Indry Hendra Perdana Hutami, Bintang Ratna Imro'ah, Nurfitri IMRO’AH, NURFITRI Istighfarani, Ridha Maharani, Cinta Priscillia Marola, Geby Martha, Shantika Neva Satyahadewi Nur Asih Kurniawati Oprasianti, Risky Pebriyandi, Rifki Rivaldo, Rendi Rizki, Setyo Wira Salsabila, Salsabila Salsabilla, Arla Sary, Rifkah Alfiyyah Selvia, Eva Tamtama, Ray Umiati, Wiji Vebriyanti, Lo Mei Ly Wulan, Elisabet Yusril, Alqaida Zaria, Della