Prediksi Harga Valuta Asing Berdasarkan Analisis Fundamental Menggunakan Informasi di Internet
Abstrak
Abstrak
Pasar valuta asing (forex market) adalah pasar terbesar dan memiliki transaksi keuangan terkompleks di dunia. Bermain di pasar Ini dapat menghasilkan keuntungan finansial yang sangat besar namun memiliki resiko yang tinggi. Oleh karena itu banyak penelitian telah dilakukan untuk membantu para trader memprediksi harga pergerakan pasar valuta asing agar terhindar dari resiko kerugian. Pada umumnya suatu prediksi dilakukan dengan mempertimbangkan 2 kelompok besar indikator, yaitu indikator teknikal dan indikator fundamental. Kebanyanan penelitian yang telah drouat berfokus kepada analisis teknikal yang menganallsis data time series yang berasal dari transaksi yang sudah lewat. Kenyataannya pergerakan harga pasar valuta asing banyak dlpengaruhi oleh isu-isu dan berita-berita yang beredar dipasar yang dapat dilihat melalui berita di media masa dan internet. Namun isu dan berita ini sangat dinamis dan tidak memiliki aturan yang tetap sehingga menyulitkan untuk mengambil kesimpulan. Pada paper ini akan dibahas mengenai indikator-indikator yang mempengaruhi pergerakan harga pasar ditinjau dari sudut analisis fundamental dan melihat pengaruh indikator tersebut terhadap pergerakan harga valuta asing.
Â
Abstract
The foreign exchange market (forex market) is the largest and the world's most complex financial transactions. Dealing in this market may generate huge financial profits, however it's also has a high risk. Therefore, research have been conducted to help traders predicted the price movements of the foreign exchange market in order to avoid the risk of losing their profits. In general, predictions are made by considering two major groups of indicators, the technical and fundamental indicators. Most studies have been made focusing on technical analysis to analyze time series data from previous transactions. In fact the foreign exchange market price movements are influenced by issues and news revolving in the market that can be seen through the news media and the internet. However the issues and the news are very dynamic and have no fixed preception, making it hard to draw conclusions. This paper will discuss the indicators that affect the market price movement from the'point of view of fundamental analysis and the influence of these indicators on the movement of foreign exchange rates.
Unduhan
Referensi
Bank International Settlement Annual Report 2010. Available: http://www.bis.org/publ/arpdf/ar2010e.htm
D.R.Lambert. Commodity channel Index: Tool for trading cyclic trends. Commodities Magazine, 1:120-122.
G.Appel. The Moving Average Convergence-Divergence Method. Signalert, Great Neck, NY, 1979.
Ming Hao Eng, Yang Li, Qing-Guo Wang, Tong Heng Lee,Forecast Forex With ANN Using Fundamental Data, International Conference on Information Management, Innovation Management and Industrial Engineering, 2008.
J.S. Abarbanell and B.J. Bushee, "Fundamental analysis, future earnings, and stock prices," Journal of Accounting Research, vol.35, 1998, p.1-24.
, M.D. Beneish, C.M.C. Lee, and R.L. Tarpley, "Contextual Fundamental Analysis Through the Prediction of Extreme Returns," Review Of Accounting Studies, vol. 6,2001, pp.165-189.
L.Harris. Trading and Exchanges Market Microstructure for Practitioners. Oxford University Press, London, 2003.
M.Rosenberg. Currenry Forecasting:A Guide To Fundamental and Technical Models of Exchange Rate Determination. Irwin Publishing, London, 1996.
Murphy.J. Technical Analysis of the Financial Markets:A Comprehensive Guide to Trading Methods and Applications.Prentice Hall Press, N.Y., 1999
Jin Li and Edward P.K. Tsang. Improving technical analysis predictions: An application of genetic programming. In Proceedings of The 12th International Florida AI Research Society Conference, pages 108112,May 1-5 1999.
Zhihong Liu, An Automated Trading System with Multi-indicator Fusion Based on D-S Evidence Theory in Forex Market, In Proceedings of Sixth International Conference onFuzzy Systems and Knowledge Discovery, 2009.
Yungho Leu, Chien- Pang Lee and Yie Zu Jou, "A distance-based fuzzy time series model for exchange rates forecasting.", Expelt Systems with Applications, Vol. 36, pp.8107-8114, MAY 2009.
Lixia Liu, Wenjing Wang, "Exchange Rates Forecasting with Least Squares Support Vector Machine", Proceeding of CSSE200B conference Wuhan, Hubei, December 2008
Tahseen Ahmed Jilani- Syed Muhammad Aqil Burney, "A refined fuzzy time series model for stock market forecasting", Physica A, Vol. 387, pp.2957-2862, MAY 2008.
Ching-Hsue Cheng/ Tai-Liang. Chen, Hia Jong Teoh, Chen-Han. Chiang, "Fuzzy time-series based on adaptive expectation model for TAIEX forecasting.", Expert Systems with Applications, Vol. 34, pp.7726-LL32, DEC 2008.
Thomas Stridsman, Trading systems that work: building and evaluating effective trading systems, McGraw-Hill, New York, 2000
B. Freisleben. Stock market prediction with back propagation networks. In Industrial and Engineering Applications of Artificial Intelligence and Expert System, pages 451-460, Paderborn, Germany, June 1992.5th International Conference.
K. J. Kim. Financial time series forecasting using support vector machines. Technical report, Neurocomputing, 2003.
K. Liu Davis, D.N. and Y. Luo. A multi-agent framework for stock trading. Technical report, 16th IFiT World Computing Congress, Beijing, China, 2000.
Arthur Hsu Yuzheng Zhai and Saman K Halgamuge. Combining news and technical indicators in daily stock price trends prediction. Masters thesis, University of Melboume, Victoria, Australia, 2007.
Shouyang Wang Lean Yu, Huanhuan Chen and Kin Keung Lai. Evolving least squares support vector machines for stock market trend mining. IEEE transactions on evolutionary computation, 13 (1), february 2009.
Powel B. Myszkowski and Adam Bicz. Evolotionary Algortihm in Forex Trade Strategy Generation.Proceeding of The IMCSIT Vol 5, Poland, 2010.
Analisis Fundamental Available at: http://belajarforex.com/indikatorfundamental.html
M. M. Dacorogna, R. Gencay, U. Muller , R. B.Olsen, and O. V. Picktet, An Introduction to High Frequency Finance. Academic Press, San Diego, San Diego, 2001
Analisis Fundamental, Sumber : http://id.wikipedia.orglwiki/Analisis_fundamental
##submission.downloads##
Diterbitkan
Cara Mengutip
Terbitan
Bagian
Lisensi
The submitting author warrants that the submission is original and that she/he is the author of the submission together with the named co-authors; to the extend the submission incorporates text passages, figures, data or other material from the work of others, the submitting author has obtained any necessary permission.
Articles in this journal are published under the Creative Commons Share Alike Attribution Licence (CC-BY-SA What does this mean?). This is to get more legal certainty about what readers can do with published articles, and thus a wider dissemination and archiving, which in turn makes publishing with this journal more valuable for you, the authors.
By submitting an article the author grants to this journal the non-exclusive right to publish it. The author retains the copyright and the publishing rights for his article without any restrictions.
