NURHAYATI, NURHAYATI (2009) PENGGUNAAN TEORI MATRIKS ACAK (TMA) UNTUK MENGANALISA DATA SAHAM LQ45 (Studi Kasus Pada Perdagangan Saham di Bursa Efek Indonesia (BEI) ). Other thesis, University of Muhammadiyah Malang.

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Abstract
The Random Matrix Theory (TMA) initially grows in physics around year of 1950. At that moment applied to comprehend data spektrokospik which unknown of order or interaction law in it, presents it the random matrix theory be predicting to all possibility that the interactions. While in the field of chartered investment counsel, investigation to behavior of stock record and monetary requires mathematics peripheral that is enough can depict height of level of the transaction. Transaction can take place several times in one seconds and interesting of the transaction is noted. Method applied in the Random Matrix Theory (TMA) this is compare between behaviors of statistics from random data to data which will be investigated. This comparison covers comparison of shelf distribution of stock record correlation matrix opportunity with random data (first simulation) and comparison of shelf distribution of value eigen stock record cross correlation matrix and random data (second simulation). In this end duty done investigation to the price of stock merged into by LQ45* at time line MarchApril 2008 to know are there variation to random data by using the random matrix theory and if happened variation how far the variation happened. Method applied in the Random Matrix Theory (TMA) is compare between behavior of random data statistics with data investigated that is stock record by using autocorrelation model of cross. From result of analysis obtained result that is stock record cross correlation matrix forms normal distribution with average of 0,72 and closer random data with normal distribution with average of 0,5. Besides shelf distribution of value eigen from stock record cross correlation matrix and random data has form of shelf distribution is looking like normal distribution and there is value eigen stock record which beyond value spread eigen random data matrix. (0,5; 0,99999). The biggest eigen value from stock data matrix LQ45* has value 0,00001 times bigger than maximum assessed eigen random data matrix. This thing indicates that stock record to digress from behavior of random data statistics equal to 0, 00001
Item Type:  Thesis (Other) 

Subjects:  L Education > L Education (General) 
Divisions:  Faculty of Teacher Training and Education > Department of Mathematics and Computing 
Depositing User:  Anggit Aldila 
Date Deposited:  21 Jun 2012 03:45 
Last Modified:  21 Jun 2012 03:45 
URI:  http://eprints.umm.ac.id/id/eprint/8894 
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