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Multifraktal: Telkom, Indosat, dan HMSP

Author

Listed:
  • Yun Hariadi
  • Yohanes Surya

    (Dept. Dynamical System, Bandung Fe Institute)

Abstract

Paper ini menggunakan analisa R/S untuk mendapatkan eksponen Hurst beserta dimensi fraktal dari data return saham Telkom, Indosat, dan HMSP. Selanjutnya eksponen Hurst digunakan untuk melihat apakah data return saham tersebut bersifat multifraktal, atau memiliki gerak Brown, atau gerak Brown sebagian. Hal yang diperoleh dari paper ini adalah, ketiga data saham memiliki memori pendek yang artinya tidak bertahan pada trend yang panjang dan bersifat multifraktal.

Suggested Citation

  • Yun Hariadi & Yohanes Surya, 2003. "Multifraktal: Telkom, Indosat, dan HMSP," Departmental Working Papers wpt2003, Bandung Fe Institute.
    • Handle: RePEc:bfe:wpsbfi:wpt2003
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