Physics – Condensed Matter – Other Condensed Matter
Scientific paper
2004-03-18
Physics
Condensed Matter
Other Condensed Matter
11 pages, 8 figures
Scientific paper
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.
Situngkir Hokky
Surya Yohanes
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