International Journal of Data Science, Engineering, and Analytics (IJDASEA)
Vol. 1 No. 1 (2021): International Journal of Data Science, Engineering, and Analytics Vol 1, No 1,

Geometric Brownian Motion and Value at Risk For Analysis Stock Price Of Bumi Serpong Damai Ltd

Trimono Trimono (Data Science Study Program, UPN Veteran Jawa Timur)
Di Asih I Maruddani (Unknown)
Prisma Hardi Aji Riyantoko (Unknown)
I Gede Susrama Mas Diyasa (Unknown)

Article Info

Publish Date
18 Jul 2021

Abstract

Investment is one of the activities that last actually attractive to the people of Indonesia. One of the most widely traded financial assets in the capital market is stocks. Stock prices frequently experience challenges to predict changes, so they can increase or decrease at any time. One method that can be applied to predict stock prices is GBM. Then, the risk can be measured using the VaR risk measure. The GBM model is determined to be accurate in predicting the stock price of BSDE.JK, with a MAPE value of 5.17%. By using VaR-HS and VaR CFE, the prediction of risk of loss at the 95% confidence level for the period 06/07/21 is -0.0597 and -0.0623

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Journal Info
International Journal of Data Science, Engineering, and Analytics (IJDASEA)
Website

Abbrev

ijdasea

Publisher

Universitas Pembangunan Nasional Veteran Jawa Timur

Subject

Computer Science & IT Decision Sciences, Operations Research & Management

Description

Focus and Scope The IJDASEA International Journal of Data Science, Engineering, and Analytics publishes original papers in the field of computer science which covers the following scope: 1. Theoretical Foundations: Probabilistic and Statistical Models and Theories Optimization Methods Data ...