Using the tools developed for statistical physics, we have analyzed statistical properties of the Indonesian Stock Exchange Index (IHSG). In spite of the small number of available data used in the analysis, the result still shows the universal behavior of complex systems previously found in the leading stock indices. We also found that the fluctuation of the index return becomes more random after the crisis.
|Number of pages||5|
|Journal||Physica A: Statistical Mechanics and its Applications|
|Publication status||Published - 1 Dec 2004|
|Event||Applications of Physics in Financial Analysis 4 (APFA4) - Warsaw, Poland|
Duration: 13 Nov 2003 → 15 Nov 2003
- Statistical mechanics