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On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree

Situngkir, Hokky and Surya, Yohanes (2005) On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree. [Departmental Technical Report]

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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.

Item Type:Departmental Technical Report
Keywords:ultrametricity, minimum spanning tree, liquidity, Jakarta Stock Exchange.
Subjects:Computer Science > Statistical Models
ID Code:4357
Deposited By:Situngkir, Mr Hokky
Deposited On:16 May 2005
Last Modified:11 Mar 2011 08:56

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