Indonesian Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree

Situngkir, Hokky; Surya, Yohanes

doi:10.2139/ssrn.768204

Cited by 15 publications

(10 citation statements)

References 8 publications

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“…There have been a lot of application of this nature of analytical works observing social system, e.g. : stock market network visualizations (Situngkir, 2005), network of business and innovation (Khanafiah & Situngkir, 2006), political parties relations and interconnection representation (Situngkir, 2004), and even more.…”

Section: Introductionmentioning

confidence: 99%

Small World Network of Athletes: Graph Representation of the World Professional Tennis Player

Situngkir

2007

SSRN Journal

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The paper proposes an alternative way to observe and extract the multiple matches games of sports, i.e.: tennis tournament in the Athlete's Historical Relative Performance Index and its representation as graph. The finding of the small world topology is elaborated along with further statistical patterns in the fashion of the weighted and directed network. The explanation of the sport tournament system as a highly optimized system is hypothetically proposed. Finally, some elaborations regarding to further directions of the usability of the proposed methodology is discussed.

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Section: Introductionmentioning

confidence: 99%

Small World Network of Athletes: Graph Representation of the World Professional Tennis Player

Situngkir

2007

SSRN Journal

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“…The time window width t is about 250 trading days in one year, and the step length Δt is one week [14]. We convert the correlation matrix to the distance matrix D to construct a currency minimum spanning tree (MST) to understand more behavior of given currencies in the network.…”

Section: Methodsmentioning

confidence: 99%

The evolution of foreign exchange market based on European sovereign debt crisis

Lari¹,

Djauhari

2013

International Journal of Basic and Applied Sciences

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This study examined the network topology of international foreign exchange markets from 2009 to 2012 in terms of European sovereign debt crisis by using the minimum spanning tree (MST) approach. In the process, the time series evolution is analyzed in relation to the structure changes of MSTs during the crisis period. By deriving some notable changes in network feature, we compare their properties for two subdivided period of currency crisis.

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“…For the sake of the visualizations of the correlations among the stock prices, as it has been shown in [9,10,14], the transformation of the correlation coefficients are delivered via,…”

Section: The Evolution Of the Tree Of Stock Pricesmentioning

confidence: 99%

“…This is the motivation of this report: observing Indonesian stock market in order to see its relations to some big events in financial (as well as economic) processes, especially those related to crisis. In order to do this, we use a methodology by modeling the spectral data mined daily in Indonesian stock market into the ultrametric space as introduced in econophysics [3,9,14]. Some insights from this approach are thus contrasted to the dynamics of Indonesian Composite Index.…”

Section: Introductionmentioning

confidence: 99%

Indonesian Stock Market Crisis Observation with Spectral and Composite Index

Situngkir

2012

SSRN Journal

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The paper discusses the employment of the index composed from the dynamical tree of correlations among stock prices both with the popularly used standard (conventional) composite one. The spectral index focus on the dynamics of the correlation coefficients among stock prices while composite index is the dynamical aggregate of the whole stocks traded in the market. Some advantages is conjectured by incorporating both indexes to the historical data of Indonesian Stock Market data. Both are shown potentially useful for detecting the crisis as well as the general stockprices relations on fundamental issues, generally social, economic, and political situations on which the Indonesian stock market is influenced.

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Indonesian Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree

Cited by 15 publications

References 8 publications

Small World Network of Athletes: Graph Representation of the World Professional Tennis Player

Small World Network of Athletes: Graph Representation of the World Professional Tennis Player

The evolution of foreign exchange market based on European sovereign debt crisis

Indonesian Stock Market Crisis Observation with Spectral and Composite Index

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