Deskripsi Fisik

xiii, 71 hal; 30 cm

Subyek

METODE Monte Carlo,

Kata Kunci

Anotasi

ABSTRACT The Bank is a financial intermediary institution generally established with the authority to accept deposits of money, lend money, and issue promissory notes or banknotes. There are 4 banks registered in government banks consisting of Bank Mandiri, Bank Negara Indonesia (BNI), Bank Rakyat Indonesia (BRI), Bank Tabungan Negara (BTN). Time series in the economic field has grown rapidly, especially in the capital market. The sale of shares is one part of the capital market. Buying and selling by investors in the capital market usually considers the return and risks involved in investing. The greater the volatility of stock returns, the greater the tendency of stock prices to rise or fall. In other words the stock price tends to be very easy to change, so it can be concluded that the risk level of stock is also getting bigger. One method that can be used in prediction is Monte Carlo and Geometric Model Brownian Motion (GBM). The results of research using Monte Carlo method and Geometric Brownian Motion (GBM) model run well, from the prediction system implementation that has been built using the initial value of 30 days and 200x parameters with mu = 0.0007, delta-t = 0.001, sigma = 0.00176615 simulation More accurate in predicting BRI bank shares and resulting in a small error value. MAPE value = 0.0154 and MSE = 52046.3902. To get the smaller difference (error value) is to increase the initial value of the day and simulation. Keywords : Banks, Stocks, Predictions, Monte Carlo, Geometric Brownian Motion (GBM).