Fluctuation of LQ45 index and BCA stock price at Indonesian Stock Echange IDX
Journal Title: International Journal of engineering Research and Applications - Year 2017, Vol 7, Issue 1
Abstract
The finance market can be consider as as complex system in physics. The moving stock price can be regarded as moving colloid particle that obey stochastic process. In this research, the stock is assumed to obey Geometric Brownian Motion and the variance obeys Ornstein-Uhlenbeck stochastic process. The theoritical probability density of return in this model is in accordance with the empirical probability density of return that taken from LQ45 dan BCA data series at Stheir peaks and their tails. The theoritical probability densities of the return in this model is compared with the Gaussian distribution, Power law, and exponential distribution.
Authors and Affiliations
Dwi Satya Palupi, Eduardus Tandelilin, Arief Hermanto, Muhammad Farchani Rosyid
Keywords
Related Articles
- EP ID EP389734
- DOI 10.9790/9622-0701026568.
- Views 129
- Downloads 0
Reversible Color Transformation: Method To Secure Secret Image By Transforming Into Secret Fragment Visible Mosaic Image
Security of information is becoming main target for modern network age. Internet is the most popular medium for transferring of data. The images which are being transmitted are have various applications, such as confiden...
Pile-Raft-Soil Interaction Study by Finite Element Analysis
In the present work, a raft supported on a centrally located pile has been analyzed by through a Finite Element Model to predict the interaction behavior pile-raft and soil in piled raft foundation composite. Attempt has...
Consumer-Based Brand Equity and Firm Risk
Investors And Managers Evaluate Potential Investments In Terms Of Risk And Return. Research Has Focused On Linking Marketing Activities And Resource Deployments With Returns But Has Largely Neglected Marketing’s Role In...
Gravity Lamp
In recent times due to effects of pollution and global warming there is a need for generating power from renewable sources. The reason for generating power using gravity is that it is available all over the Earth, abunda...
Automated Ultrasonic Measurements in Thin Samples
Pulse echo technique is widely used for ultrasonic velocity measurements in solids and liquids, but fails to measure ultrasonic velocity in thin samples. In such situations total reflection technique is extremely useful....