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Statistical Characteristics of Jakarta Composite Index (JCI) Dynamics based on Short Term Data Represented in Candles

Received: 22 February 2014     Published: 20 March 2014
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Abstract

This paper presents the dynamics of Jakarta Composite Index (JCI) where the data were observed daily from January 2008 to October 2012. The data are presented in candle forms, as often used in online trading software. Statistical analysis on the average and the variance is applied on every month candle representations. The average and the standard deviation may vary on each candle, meaning that they depend on time. The average that depends on time indicates a trend of the dynamics. On the other hand, the average and the standard deviation yield the so-called probability density function (pdf) which depends on time called temporal-pdf (t-pdf). The trend and the probability of the dynamics of JCI are implicitly represented in the t-pdf. The t-pdf of the dynamics of JCI is the main concern of this paper. Understanding the t-pdf will help investors deal with the dynamics of JCI.

Published in International Journal of Economics, Finance and Management Sciences (Volume 2, Issue 2)
DOI 10.11648/j.ijefm.20140202.14
Page(s) 138-142
Creative Commons

This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.

Copyright

Copyright © The Author(s), 2014. Published by Science Publishing Group

Keywords

Jakarta Composite Index, Jakarta Stock Exchange, Temporal Probability Density Function, Dynamic Trend

References
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[3] S. Béreau, A.L. Villavicencio and V. Mignon, "Nonlinear adjustment of the real exchange rate towards its equilibrium value: A panel smooth transition error correction modeling," Economic Modelling vol. 27:1, pp. 404-416, 2010.
[4] E. Cahyono, J.R. Juliana and R. Raya, "Asset value dynamics and the fundamental solution of a modified heat equation," (in the 4th International Conference on Mathematics and Statistics), Bandar Lampung, Indonesia, pp. 312-318, 2009.
[5] E. Cahyono, B. Sarita, P. Adam and F.P. Arisanty, "The trend and dynamics distribution of the Jakarta stock exchange (JSX) composite," International Journal of Economics and Finance Studies, vol. 4:2, pp. 77-85, 2012.
[6] E. Cahyono and Y. Soeharyadi, 2010. "On the interaction of Barenblatt’s solution to the porous medium equation," International Journal of Mathematical Sciences and Engineering Applications, vol. 4:2, pp. 187-198, 2010.
[7] L.C. Evans, Partial Differential Equations. American Mathematical Society. Providence, Rhode Island, 2002.
[8] M.D.D. Evans and R.K. Lyons, "How is macro news transmitted to exchange rates?" Journal of Financial Economics vol. 88:1, pp. 26-50, 2008.
[9] R. Emekter, B. Jirasakuldech and S.M. Snaith, "Nonlinear dynamics in foreign exchange excess returns: Tests of asymmetry," Journal of Multinational Financial Management vol. 19:3, pp. 179-192, 2009.
[10] M.D. Gadea, M.B. Kaabia and M. Sabaté, "Exchange rate regimes and prices: The cases of Italy, Spain and the United Kingdom (187-1998)," Journal of International Financial Markets, Institutions and Money, vol. 19:3, pp. 477-489, 2009.
[11] Y. Huang, S.N. Neftci and F. Guo, "Swap curve dynamics across markets: Case of US dollar versus HK dollar," Journal of International Financial Markets, Institutions and Money, vol. 18:1, pp. 79-93, 2008.
[12] T. Ito and K. Sato, "Exchange rate change and inflation in post-crisis Asian economies: Vector autoregression analysis of exchange rate pass-through. Journal of Money," Credit and Banking, vol. 40: 7, pp. 1407-1437, 2008.
[13] E. Krylova, J. Nikkinen and S. Vähämaä, "Cross-dynamics of votality term structures implied by foreign exchange options," Journal of Economics and Business, vol. 61:5, pp. 355-375, 2009.
[14] F. Mainardi, M. Roberto, R. Gorenflo and F. Scalas, "Fractional calculus and continuous time finance. II the waiting time distribution," Physica A: Statistical Mechanics and its Applications, vol. 287, pp. 468-481, 2000.
[15] M.M. Meerschaert and E. Scalas, "Couple continuous random walks in finance," Physica A: Statistical Mechanics and its Applications, vol. 370, pp. 114-118, 2006.
[16] L. Muchnik, A. Bunde and S. Havlin, "Long term memory in extreme returns of financial time series," Physica A: Statistical Mechanics and its Applications, vol. 388:19, pp. 4145-4150, 2009.
[17] M. Roberto, E. Scalas and F. Mainardi, "Waiting-times and returns in high-frequency financial data: an empirical study," Physica A: Statistical Mechanics and its Applications, vol. 314, pp. 749-755, 2002.
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  • APA Style

    Pasrun Adam, La Gubu, Edi Cahyono Cahyono. (2014). Statistical Characteristics of Jakarta Composite Index (JCI) Dynamics based on Short Term Data Represented in Candles. International Journal of Economics, Finance and Management Sciences, 2(2), 138-142. https://doi.org/10.11648/j.ijefm.20140202.14

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    ACS Style

    Pasrun Adam; La Gubu; Edi Cahyono Cahyono. Statistical Characteristics of Jakarta Composite Index (JCI) Dynamics based on Short Term Data Represented in Candles. Int. J. Econ. Finance Manag. Sci. 2014, 2(2), 138-142. doi: 10.11648/j.ijefm.20140202.14

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    AMA Style

    Pasrun Adam, La Gubu, Edi Cahyono Cahyono. Statistical Characteristics of Jakarta Composite Index (JCI) Dynamics based on Short Term Data Represented in Candles. Int J Econ Finance Manag Sci. 2014;2(2):138-142. doi: 10.11648/j.ijefm.20140202.14

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  • @article{10.11648/j.ijefm.20140202.14,
      author = {Pasrun Adam and La Gubu and Edi Cahyono Cahyono},
      title = {Statistical Characteristics of Jakarta Composite Index (JCI) Dynamics based on Short Term Data Represented in Candles},
      journal = {International Journal of Economics, Finance and Management Sciences},
      volume = {2},
      number = {2},
      pages = {138-142},
      doi = {10.11648/j.ijefm.20140202.14},
      url = {https://doi.org/10.11648/j.ijefm.20140202.14},
      eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20140202.14},
      abstract = {This paper presents the dynamics of Jakarta Composite Index (JCI) where the data were observed daily from January 2008 to October 2012. The data are presented in candle forms, as often used in online trading software. Statistical analysis on the average and the variance is applied on every month candle representations. The average and the standard deviation may vary on each candle, meaning that they depend on time. The average that depends on time indicates a trend of the dynamics. On the other hand, the average and the standard deviation yield the so-called probability density function (pdf) which depends on time called temporal-pdf (t-pdf). The trend and the probability of the dynamics of JCI are implicitly represented in the t-pdf. The t-pdf of the dynamics of JCI is the main concern of this paper. Understanding the t-pdf will help investors deal with the dynamics of JCI.},
     year = {2014}
    }
    

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  • TY  - JOUR
    T1  - Statistical Characteristics of Jakarta Composite Index (JCI) Dynamics based on Short Term Data Represented in Candles
    AU  - Pasrun Adam
    AU  - La Gubu
    AU  - Edi Cahyono Cahyono
    Y1  - 2014/03/20
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    DO  - 10.11648/j.ijefm.20140202.14
    T2  - International Journal of Economics, Finance and Management Sciences
    JF  - International Journal of Economics, Finance and Management Sciences
    JO  - International Journal of Economics, Finance and Management Sciences
    SP  - 138
    EP  - 142
    PB  - Science Publishing Group
    SN  - 2326-9561
    UR  - https://doi.org/10.11648/j.ijefm.20140202.14
    AB  - This paper presents the dynamics of Jakarta Composite Index (JCI) where the data were observed daily from January 2008 to October 2012. The data are presented in candle forms, as often used in online trading software. Statistical analysis on the average and the variance is applied on every month candle representations. The average and the standard deviation may vary on each candle, meaning that they depend on time. The average that depends on time indicates a trend of the dynamics. On the other hand, the average and the standard deviation yield the so-called probability density function (pdf) which depends on time called temporal-pdf (t-pdf). The trend and the probability of the dynamics of JCI are implicitly represented in the t-pdf. The t-pdf of the dynamics of JCI is the main concern of this paper. Understanding the t-pdf will help investors deal with the dynamics of JCI.
    VL  - 2
    IS  - 2
    ER  - 

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Author Information
  • Dept. Mathematics FMIPA Univ. Halu Oleo, Kendari, Indonesia

  • Dept. Mathematics FMIPA Univ. Halu Oleo, Kendari, Indonesia

  • Dept. Mathematics FMIPA Univ. Halu Oleo, Kendari, Indonesia

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