Prediksi Kurs Rupiah Terhadap Dolar Dengan FTS-Markov Chain Dan Hidden Markov Model

Authors

  • Maria Titah Jatipaningrum Akprind Yogyakarta, Indonesia
  • Kris Suryowati Akprind Yogyakarta, Indonesia
  • Libertania Maria Melania Esti Un Akprind Yogyakarta, Indonesia

DOI:

https://doi.org/10.31316/j.derivat.v6i1.334

Abstract

Hidden Markov model is a development of the Markov chain where the state cannot be observed directly (hidden), but can only be observed, a set of other observations and combination of fuzzy logic and Markov chain to predict Rupiah exchange rate against the Dollar. The exchange rate of purchasing and exchange rate of saling is divided into four states, namely down large, down small, small rise, and large rise are symbolized respectively S1, S2, S3, and S4. Probability of sequences of observation for 3 days later is computed by forwarding and Backward Algorithm, determine the hidden state sequence using the viterbi algorithm and estimate the HMM parameters using the Baum Welch algorithm. The MAPE result exchange rate of purchase of FTS-Markov Chain is 1,355% and the exchange rate of sale of FTS-Markov Chain is 1,317%. The sequences of observation which optimized within exchange rate of  purchase is X* = {S3,S3,S3}, within exchange rate of sale is also X* = {S3,S3,S3}.

 

Keywords: Exchange rate, FTS-Markov Chain, Hidden Markov Model

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Published

2019-07-20

Issue

Vol. 6 No. 1 (2019): Jurnal Derivat (Juli 2019)

Section

Articles

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