NEWSLETTER BFI March 26 2005
Bandung Fe Institute
NEWSLETTER BANDUNG FE INSTITUTE (BFI)
March 26 2005
Statistics of Liquid and Illiquid Stocks in Jakarta Stock Market.
The research cooperation project between Jakarta Stock Market Research
& Development Division and Surya Research International has resulted
analytical effort to differ the liquid and illiquid stocks. The team
analyzed the statistical properties of specific individual indexes
traded in Jakarta Stock Exchange representing the liquid and illiquid
stocks and discovered that the universality of statistical properties
are detected in most of the stocks. Nonetheless, the general analysis
showed inefficiency of the market. The quest of the source of it is
explored by analysis on return data distribution, long memory of the
market, the correlation of price and volume traded, the correlation
among stock price fluctuations in ultrametric space and random matrix
theory. The research progress proposed another source of the
illiquidity to be analyzed in the future, that is the perception of
society of investment and the investment climate. This should be
conducted beside the forthcoming microstructure simulations on various
trading systems.
The paper was presented in Jakara, March 22nd 2005 in front of Research
and Trading Staff to have feedback about the concluded thing. For
Indonesian readers, the paper has been published as Bandung Fe
Institute working paper series and available for download in
http://www.bandungfe.net/wp2005/2005d.pdf
In order to have feedback from international readers, there has been
prepared a more detailed paper in English regarding interesting and
special case discovered. You will be informed as soon as the paper is
available on-line.
Some further researches still in progress concerning the microstructure
of the Indonesian stock market, i.e.:
- Evaluation of polling held among JSX investors to evaluate the recent
trading system (by Deni Khanafiah).
- Herding behavior and possible perspective of memetic spreading
rumors/gossips (by Tiktik Dewi Sartika & Hokky Situngkir).
- Evaluation of composite indexes by using Random Matrix Theory (by Yun
Hariadi).
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GENERAL LECTURE BFI MARCH 2005
Introduction to Computational Linguistics for interested Indonesian
Rendra Suroso, the chairman of Dept. Cognitive Science Bandung Fe
Institute has presented the introductory course of Computational
Lingustics as General Lecture of Bandung Fe Institute March 16 2005.
The lecture is meant to be the first debute to popularize the discourse
of computational linguistics for them interesting in social complexity
sciences.
The hand-out (in Indonesian) of the lecture can be downloaded in
http://www.bandungfe.net/genlec/genlec03.pdf
Considering the very limited time available, the discussions are still
open via e-mail: b...@cogsci.bandungfe.net
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UPDATED DEPARTEMENTAL AGENDA in Bandung Fe Institute
based on Board of Science meeting March 18 2005
--> dept. computational sociology
1. Analysis of Memetics corresponding to Sznajd model and rumor
diffusions
2. Network Textual Analysis corresponding to Zipf Law
3. Microsimulation of inefficient market relating to Jakarta Stock
Market
--> dept. cognitive science
1. Morphology in natural language corresponding to possible
codification.
--> dept. dynamical system modeling
1. Statistical analysis of Regional Allocated Finance in Indonesia.
2. Simulation of social migration in the perspective poverty analysis.
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REMINDER: CALL FOR PAPERS JOURNAL OF SOCIAL COMPLEXITY 2(2)
Special Issue: MANAGEMENT IN THE AGE OF COMPLEXITY
You are encouraged to submit your research paper(s), commentary
paper(s), or book review(s) covering the theme to the Editorial Board
of Journal of Social Complexity not later than March 31st 2004 00:00GMT
in electronic format. For further information refer to the journal
website: http://josc.bandungfe.net
Feel free to download the poster of the call for papers here:
http://josc.bandungfe.net/cfp22.pdf
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