TY - JOUR
T1 - Catching the Behavior of Stock Market: Numerical Approach to Estimate the Catalytic Chemical Model Parameters
AU - Husodo, Zäafri Ananto
AU - Suardi, Lenny
AU - Setiati, Ririen
AU - Hudiyono, Risca Fleureta
N1 - Thank you to Management Studies’ Laboratory, Faculty of Economics and Business, Universitas Indonesia for funding this research at 5,000 USD.
PY - 2015/1/30
Y1 - 2015/1/30
N2 - 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.
AB - 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.
KW - Systemic risk
KW - Dynamic behavior
KW - Stock market
KW - Numerical approach
U2 - 10.21002/icmr.v7i1.4356
DO - 10.21002/icmr.v7i1.4356
M3 - Article
VL - 7
SP - 25
EP - 32
JO - The Indonesian Capital Market Review
JF - The Indonesian Capital Market Review
IS - 1
ER -