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Peramalan Harga Saham Serentak Menggunakan Model Multivariate Singular Spectrum Analysis

*Aris Marjuni orcid scopus publons  -  Program Magister Teknik Informatika, Fakultas Ilmu Komputer, Universitas Dian Nuswantoro, Semarang, 50131, Indonesia
Open Access Copyright (c) 2022 JSINBIS (Jurnal Sistem Informasi Bisnis)

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Abstract

Stock price fluctuations in the stock market are widely influenced by financial environment changes in both micro and macro that are usually unpredictable and can not be controlled by stock players. On the other side, stock price information is very essential and much needed for both buyers and traders. Stock price forecasting is one of the analytical techniques to obtain stock price prediction based on the previous historical stock prices. The open and close prices are important information in stock trading. The opening price can influence the movement towards the closing price, and the closing price becomes important for the next day's opening price. In technical analysis, the relationship between the two stock prices can be parametric or non-parametric. This study discusses the stock price prediction or forecasting through the non-parametric approach using a multivariate singular spectrum analysis method with the consideration that open and close prices are simultaneously working in the same system and time. Performance evaluation using Mean Absolute Percentage Error shows that the multivariate singular spectrum analysis method can produce predicted open and close prices with an error rate of 3.18% and 3.21%, respectively. Hence, this method can be used as an alternative for stock price forecasting simultaneously.

Keywords: Stock Price Forecasting; Multivariate Model; Singular Spectrum Analysis; Non-Parametric Approach

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