On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree

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On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree

Author Info

Hokky Situngkir (Bandung Fe Institute)
Yohanes Surya (Surya Research International)

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Abstract

We 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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Paper provided by EconWPA in its series Macroeconomics with number 0505010.

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Length: 18 pages
Date of creation: 12 May 2005
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Handle: RePEc:wpa:wuwpma:0505010

Note: Type of Document - pdf; pages: 18
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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)

References listed on IDEAS
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repec:cup:macdyn:v:4:y:2000:i:2:p:170-96 is not listed on IDEAS
Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Science & Finance (CFM) working paper archive 500028, Science & Finance, Capital Fund Management. [Downloadable!]
Cont, Rama & Bouchaud, Jean-Philipe, 2000. "Herd Behavior And Aggregate Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 4(02), pages 170-196, June. [Downloadable!]

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Cited by:
(explanations, 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.)

Situngkir, Hokky & Surya, Yohanes, 2006. "Kerangka Kerja Ekonofisika dalam Basel II," MPRA Paper 896, University Library of Munich, Germany. [Downloadable!]

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This page was last updated on 2009-11-30.

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