TY  - GEN
ID  - cogprints4357
UR  - http://cogprints.org/4357/
A1  - Situngkir, Hokky
A1  - Surya, Yohanes
TI  - On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree
Y1  - 2005///
N2  - We analyze the evolving price °uctuations by using ultrametric distance of minimally spanning Żnancial 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 Żnancial 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.
AV  - public
KW  - ultrametricity
KW  -  minimum spanning tree
KW  -  liquidity
KW  -  Jakarta Stock Exchange.
ER  -

<script src="//archive-bar.soton.ac.uk/archive-bar.js"></script>