PENERAPAN METODE FUZZY TIME SERIES MENGGUNAKAN PARTICLE SWARM OPTIMIZATION ALGORITHM UNTUK PERAMALAN INDEKS SAHAM LQ45

Abstract

Stocks have a volatile nature and it is difficult to predict the ups and downs. Therefore, stock data forecasting is done by investors to get a picture of future results. Fuzzy Time Series is a time series method that is suitable for forecasting fluctuating stock data because it does not require the fulfillment of assumptions such as normality and stationarity, but the Fuzzy Time Series method has weaknesses in determining intervals. So that in this study, interval optimization will be carried out on Fuzzy Time Series with Particle Swarm Optimization algorithm to predict LQ45 stock index data, Particle Swarm Optimization algorithm is used because it produces more optimal interval values compared to other optimization methods such as Genetic Algorithm. The data to be used is the closing price of the LQ45 stock index on January 5, 2020 to December 26, 2021. Forecasting using the Fuzzy Time Series method produces a SMAPE value of 1.53%, then after optimization using the Particle Swarm Optimization algorithm, the SMAPE value decreases to 1, 27%. Therefore, it can be concluded that optimization using Particle Swarm Optimization on Fuzzy Time Series produces a more optimal forecasting value.