NEWSLETTER BFI July 31 2005
Bandung Fe Institute
July 31 2005
CONTENTS:
01. JSX: Limit-Order Analysis and Herding Behavior
02. Institutional news: Ivan Mulianta resigned
JSX: Limit-Order Analysis and Herding Behavior
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Financial System (as well as economic system) is a non-linear system.
Our recent understanding has showed that economic agents are not at all
fully-rational on making their decisions. It is wellknown now that
economic agents aims to satisfice themselves rather than takes the most
rational choices. The rise and fall of an economic and financial
indexes are emerged from the social interactions among those agents.
For example, there have been a lot of researches on econophysics
showing the volatility clustering caused the fat-tail distribution of
financial index's return. The volatility clustering itself is an effect
of the existence of investor's decisions in the market. This is
indicating the herding behavior in the stock market.
Obviously, there are many possibilities how an agent communicate and
influence one another. An interesting perspective can be build from the
analysis of the arrival orders in the market. Specifically, this
brought us to the analysis of limit-order. Most of modern stock market
is run in the continuous double-action trading system. Can we build
analysis on recognizing such orders with high potentiality harmful to
the general market, especially market of low-liquidity? How can we
understand order arrivals and simultaneously reflect to the market
performance? Is circuit-breaker needed in particular stock-markets?
Those are the questions to be discussed in a newly econophysics
research conducted by the institute in the cooperation between Surya
Research International and the Jakarta Stock Exchange. The research is
expected to give constructive suggestions by the end of the year while
started from July 2005.
Several works in the institute related to these issues can be accessed
on-line:
SIFAT STATISTIKA DATA DERET WAKTU KEUANGAN: Studi Empirik Beberapa
Indeks Saham Indonesia (in Indonesian), Working Paper WPU2003 Bandung
Fe Institute. URL: http://www.bandungfe.net/wp2003/sifat.pdf
Agent Based Model Construction in Financial Economic System, Working
Paper WPA2004. URL: http://www.bandungfe.net/wp2004/2004a.pdf
LQ45* Dalam Teori Matriks Acak (in Indonesian), Working Paper WPI2004.
URL: http://www.bandungfe.net/wp2004/2004i.pdf
Statistical Facts of Artificial Stock Market: Comparison with
Indonesian Empirical Data, Working Paper WPS2004. URL:
http://www.bandungfe.net/wp2004/2004s.pdf
On Stock Market Dynamics through Ultrametricity of Minimum Spanning
Tree, Working Paper WPH2005 Bandung Fe Institute. URL:
http://www.bandungfe.net/wp2005/2005h.pdf
AN INSTITUTIONAL NEWS: Ivan Mulianta resigned
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As cited in the homepage of BFI, Ivan Mulianta, an ex-scholar of BFI,
has been resigned from the Institute. The Board of Science Bandung Fe
Institute has received and directly accepted a letter from Ivan
Mulianta indicating his resignment as a researcher in the institute on
July 30, 2005. The reason mentioned in his letter is his
self-recognized incapability on research activities. The Board of
Science previously had a meeting on this issue and concluded that his
yearly evaluation showinig negative results on his role as a researcher
concerning his research. Ivan Mulianta was assigned in Dept. Dynamical
System and Yun Hariadi, the chairman and also the member of the Board
of Science, as well as other members of the board, did not have any
points on rejecting the resignment. In the same day, Board of Science
BFI acclaimed that his resignment was accepted by understanding the
letter's own reasons and the board's professional evaluation.
This organizational news can also be seen in
http://www.bandungfe.net/news.html
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