Since 2014
Catching the Behavior of Stock Market: Numerical Approach to Estimate the Catalytic Chemical Model Parameters
Indonesian Capital Market Review
View Archive Info| Field | Value | |
| Title |
Catching the Behavior of Stock Market: Numerical Approach to Estimate the Catalytic Chemical Model Parameters
|
|
| Creator |
Zaäfri Ananto Husodo; Department of Management, Faculty of Economics and Business, Universitas Indonesia
Lenny Suardi; Department of Management, Faculty of Economics and Business, Universitas Indonesia Ririen Setiati; Department of Management, Faculty of Economics and Business, Universitas Indonesia Risca Fleureta Hudiyono; Department of Management, Faculty of Economics and Business, Universitas Indonesia |
|
| Subject |
—
Systemic risk, Dynamic behavior, Stock market, Numerical approach |
|
| Description |
This research proposes a numerical approach in estimating the trend of behavior of this market. This approach is applied to a model that is inspired by catalytic chemical model, in terms of differential equations, on four composite indices, New York Stock Exchange, Hong Kong Hang Seng, Straits Times Index, and Jakarta Stock Exchange, as suggested by Caetano and Yoneyama (2011). The approach is used to minimize the difference of estimated indices based on the model with respect to the actual data set. The result shows that the estimation is able to capture the trend of behavior in stock market well.
|
|
| Publisher |
Management Research Center, Department of Management, Faculty of Economics and Business, U
|
|
| Contributor |
Management Studies’ Laboratory, Faculty of Economics and Business, Universitas Indonesia
|
|
| Date |
2015-04-22
|
|
| Type |
Peer-reviewed Article
— |
|
| Format |
application/pdf
|
|
| Identifier |
http://journal.ui.ac.id/index.php/icmr/article/view/4356
|
|
| Source |
Indonesian Capital Market Review; Vol 7, No 1 (2015): January 2015
|
|
| Language |
en
|
|
| Coverage |
Indonesia
— — |
|