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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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creators_name:
- family: Situngkir
given: Hokky
honourific: ''
lineage: ''
- family: Surya
given: Yohanes
honourific: ''
lineage: ''
date: 2005
date_type: published
datestamp: 2005-05-16
department: Dept. Computational Sociology
dir: disk0/00/00/43/57
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eprint_status: archive
eprintid: 4357
fileinfo: /style/images/fileicons/application_pdf.png;/4357/1/2005h.pdf
full_text_status: public
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institution: Bandung Fe Institute
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ispublished: pub
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keywords: 'ultrametricity, minimum spanning tree, liquidity, Jakarta Stock Exchange.'
lastmod: 2011-03-11 08:56:03
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reportno: WPH2005 Bandung Fe Institute
rev_number: 12
series: ~
source: ~
status_changed: 2007-09-12 16:58:50
subjects:
- comp-sci-stat-model
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title: On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree
type: techreport
userid: 4745
volume: ~