Judul: Optimisasi portofolio point and figure menggunakan hidden markov
Abstrak: Dalam membuat keputusan investasi, investor tidak mengetahui secara pasti tingkat return (imbal hasil) dari saham. Ketidakpastian tingkat return yang diperoleh investor berkaitan dengan adanya resiko (naik-turunnya harga saham) dalam setiap aktivitas investasi. Resiko investasi dapat diprediksi melalui kinerja perusahaan yang tercermin dalam harga sahamnya. Untuk memperoleh keuntungan, investor yang akan membeli saham dari suatu perusahaan harus melakukan analisis terhadap nilai sahamnya. Salah satu analisis yang digunakan adalah analisis teknikal. Analisis teknikal merupakan metode analisis yang berdasarkan diagram/grafik dari harga saham. Metode ini dilakukan dengan cara membandingkan gerakan harga saham saat ini dengan gerakan harga saham di masa lalu untuk memprediksi harga saham di masa depan yang logis. Dasar dari analisis teknikal adalah diagram/grafik dari gerakan harga saham. Tipe diagram yang dibahas dalam karya ilmiah ini adalah diagram PF (Point and Figure Chart). Diagram PF adalah salah satu tipe diagram dari analisis teknikal yang hanya menampilkan perubahan harga yang signifikan.
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Judul: Point and Figure Portfolio Optimization Using Hidden Markov Models and its Application on the Stock of Bumi Resources Tbk
Abstrak: The problem of portfolio optimization is to select a trading strategy which maximizes the expected terminal wealth. Since in a real-world market the stocks are traded at discrete random times, we are interested in a time sampling method. The time sampling process obtains sampling of stock price used in point and figure chart. Point and figure chart only displays up or down movements of unbalanced stock price. The basic idea is to describe essential movements of the unbalance stock price using a hidden Markov model. Parameters of this model are transition probability matrices. They are estimated using maximum likelihood method and expectation maximization algorithm. The estimation procedure involves change of measure. The estimation of parameters uses computer algebraic systems on the Mathematica 8.0. The model is then applied to the stock price of Bumi Resources Tbk from January 2nd 2007 until January 31st 2011. The estimated parameters are used to calculate the optimal portfolio using a recursive algorithm. The results of this study show that the discrete hidden Markov model can be applied to describe essential movements of the stock price. The best result gives 93.63% accuracy of the estimate of observation sequence with mean absolute percentage error (MAPE) 3.63% and 5 factors causing the event. The numerical calculation shows that the optimal logarithmic PF-portfolio increases the wealth.
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Judul: Heterologous Expression Of Endo-Β-Xylanase From Bacillus Pumilus Strain Bcrs-01 In Escherichia Coli.
Abstrak: Xylanases are glycoside hydrolase family 11 which depolymerise xylan in the plant cell wall, the most excessive form of hemicellulose. Endo-β-xylanases (EC 3.2.1.8) are most important to breakdown β-1,4-glicoside bond of xylan to produce disaccaride xyloolygosaccaride (XOs) and xylose (monomer). Bovine rumen fluids have potential to obtain endo-β-xylanase produced of bacteria. The objectives of this study were to obtain xylanase producing bacteria and to express xynA gene encoding endo-β-xylanase from bacterium in Escherichia coli. Twenty nine isolate bacteria have been succesfully isolated from bovine rumen fluid in agar medium containing birchwood xylan. Isolate BCRS-01 bacterium was previously screened for the high production of xylanase. Based on 16S rRNA gene sequence analysis, BCRS-01 showed high similarity (99%) to Bacillus pumilus (accession number NR043241). The crude xylanase had optimal activity at 55oC, pH 7.0. Furthermore, the crude xylanase exhibited broad pH stability from 4.0 to 10.0 and remained more than 60% and 40% of its activity after incubation at pH 4.0 until 10.0, respectively for 60 min. It also showed a stability at temperature 25-50oC since it retained 80% and 50% of its activity when incubated at 50oC or 30 and 60 min, respectively. The xylanase activity was strongly inhibited by Ca2+ and Cu2+ at concentration 10 mM, and as little as 1 mM for Mn2+. Therefore, this xylanase has potentially used as additive feeds in animal feed industry. The DNA sequence xynA gene encoded endo-β-xylanase was amplified and cloned into the expression vector pET-15by under the control of T7 promoter. The recombinant protein had succesfully expressed in Escherichia coli BL21 (DE3) pLysS. A protein recombinant of approximately, 26.7 kDa was observed on the SDS-PAGE analysis. Crude extract of recombinant endo-β-xylanase demonstrated activity of enzyme at 56 U mL-1 using birchwood xylan as a substrate at 55oC for 10 min.
Keyword: Bacillus pumilus, bovine rumen fluid, endo-β-xylanase, heterologous expression.