On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree
AbstractWe analyze the evolving price °uctuations by using ultrametric distance of minimally spanning ¯nancial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transformation of correlation coe±cients into the distances among stocks. Our analysis evaluates the performance of ups and downs of stock prices and discovers the evolution towards the ¯nancial and economic stabilization in Indonesia. This is partly recognized by mapping the hierarchical trees upon the realization of liquid and illiquid stocks. We remind that the methodology is useful in two terms: the evaluation of spectral market movements and intuitively understanding for portfolio management purposes.
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Bibliographic InfoPaper provided by EconWPA in its series Macroeconomics with number 0505010.
Length: 18 pages
Date of creation: 12 May 2005
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ultrametricity; minimum spanning tree; liquidity; Jakarta Stock Exchange.;
Find related papers by JEL classification:
- E - Macroeconomics and Monetary Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-05-14 (All new papers)
- NEP-FIN-2005-05-14 (Finance)
- NEP-MAC-2005-05-14 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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