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
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- EP ID EP389734
- DOI 10.9790/9622-0701026568.
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