Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia
This paper is trying to unveil general statistical characteristic of financial; time series data that is subjected to several financial time series data present in Indonesia, e.g. individual index such as stock price of PT. TELKOM, stock price of PT HM SAMPOERNA, and compiled stock price index (Jakarta Stock Exchange Index). Characteristics that we try to analyze are volatility clustering, truncated Levy distribution, and multifractality feature. This analysis is directed for further works of research in making Indonesian artificial stock exchange that gives representation of micro structure of stock exchange in Indonesia. This paper is a resume of statistic behavior analyzed in top-down to become the ground in starting a more bottom-up analysis.
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.:
- Hokky Situngkir & Yohanes Surya, 2003. "PLATFORM BANGUNAN MULTI-AGEN DALAM ANALISIS KEUANGAN: gambaran deskriptif komputasi," Departmental Working Papers wps2003, Bandung Fe Institute.
- J. Doyne Farmer & Fabrizio Lillo, 2003. "On the origin of power law tails in price fluctuations," Papers cond-mat/0309416, arXiv.org, revised Jan 2004.
- Gaunersdorfer, A. & Hommes, C.H., 2000.
"A Nonlinear Structural Model for Volatility Clustering,"
CeNDEF Working Papers
00-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Gaunersdorfer, A. & Hommes, C.H., 2005. "A nonlinear structural model for volatility clustering," CeNDEF Working Papers 05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
- Bouchaud, Jean-Philippe, 2002. "An introduction to statistical finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 313(1), pages 238-251.
- Giulia Iori, 2000.
"Scaling and multiscaling in financial markets,"
- Jean-Philippe Bouchaud, 2002. "An introduction to statistical finance," Science & Finance (CFM) working paper archive 313238, Science & Finance, Capital Fund Management.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0405005. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.