NEWSLETTER BANDUNG FE INSTITUTE May 6 2005
Bandung Fe Institute
May 6 2005
ABOUT RESEARCH ON TRADING SYSTEM IN JAKARTA STOCK EXCHANGE
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The research project in the cooperation between Surya Research
International (official affiliation of the institute) and Jakarta Stock
Exchange has been concluded. The research took theme on "simulating the
stock market microstructure to see if it is possible to change the
trading system in Jakarta Stock Exchange into Continuous Interval
Trading System". The continuous interval trading system is defined by
referring the trading system used by Bursa Malaysia - stock market
within price formation is concluded by call system in the very small
time interval (e.g.: in time order of seconds or minutes). The current
trading system in Jakarta Stock Exchange is the continuous trading
system - the standard continuous market used in most stock markets
around the world. The consideration is on fairness and liquidity among
investors submitting their orders. The microsimulation used in the
research is inspired by a lot of model of artificial stock markets by
shaping the microstructure model with the result of previously
statistical analysis on surrogate and poll data. In micro description
level, the model emphasizes the importance of psychological and
fundamental issues to be counted on. From many resulting data
generated in simulations, the research team chose the best data
reflecting the statistical properties of time-series data and started
comparative analysis between the continuous trading mechanism and the
continuous interval trading system. The result is a suggestion not to
change the trading system used to day since there is a big possibility
it reduces to the current liquidity while not very significantly
affecting the fairness of the market. Some further researches are
suggested beside possible endeavors to reduce several possible
exogenous aspects affecting liquidity in general.
The research team thanks many persons, namely fellows in Divisi Riset
dan Pengembangan JSX for technical help on polls and correspondence
especially Ms. Vitri Herma Susanti, and colleagues in Bandung Fe
Institute especially Rendra Suroso for discussions along the research
project.
The report is in Indonesian and some of the result is published on-line
for public access through BFI Working Paper Series.
NEW WORKING PAPERS IN BANDUNG FE INSTITUTE
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There are two new Working Papers in Bandung Fe Institute published
on-line.
The first paper is on Zipf Analysis usage to extract the ups and downs
of the market price. Indirectly, the paper is related to research in
the Jakarta Stock Exchange. The paper revisits the investment
simulation based on strategies exhibited by Generalized (m,2)-Zipf law
to present an interesting characterization of the wildness in financial
time series. The investigations of dominant strategies on each
specific time series shows that longer words dominant in larger time
scale exhibit shorter dominant ones in smaller time scale and vice
versa. Moreover, denoting the term wildness based on persistence over
short term trend and memory represented by particular length of words,
we can see how wild historical fluctuations over time series data coped
with the Zipf strategies. The paper is available in English only and
published on-line in http://www.bandungfe.net/wp2005/2005e.pdf
The second paper is about the result of polling conducted among traders
in Jakarta Stock Exchange related to the research previously announced.
The paper report the result of polling held to provide useful guidance
on designing the microstructure simulation about correspondence between
trading system and stocks liquidity. The research extracted some
important characteristics of traders reflecting their decision making
process and strategies on investment. It found important notes on
investor's response to the possibility of changing the trading
mechanisms and evaluation due to used trading system. Since the aim of
the paper is reporting research progress in Jakarta Stock Exchange
circumstances, it is written and available in Indonesian only. The
paper is entitled "Jejak Trading System pada Profil Investor: Elaborasi
Hasil Jajak Pendapat Pra Simulasi, and can be accessed in
http://www.bandungfe.net/wp2005/2005f.pdf
The third paper is about the micro-simulation run to have (theoretical)
comparative analysis between the continuous trading system (currently
used in Jakarta Stock Exchange) and the continuous interval trading
system. The model is inspired by Giulia Iori's microsimulation
simulation (2002), santa Fe Artificial stock market model (2002), and
Hokky Situngkir and Yohanes Surya's model (2004). Similar to the
previously paper, the paper is available in Indonesian only and
published on-line in
http://www.bandungfe.net/wp2005/2005g.pdf
VISITING CLASS: CHAOS THEORY AND ARCHITECTURE
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On April 11th 2005, Yun Hariadi, the Head of Dept. Dynamical System
Modeling of the institute is invited to give lecture on the inspiration
of chaos theory to the architectural designs. The limited lecture is
held as a meeting in the Experimental Architecture Class of
Architecture Faculty in Parahyangan University, Bandung - Indonesia.
The talk is presented in Indonesian and the paper can be accessed in
http://www.bandungfe.net/genlec/genlec04.pdf
A KINDHEARTED ACTION TO SUPPORT THE INSTITUTE
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The institute thank gratefully Mr. Alfred Bollebaker from (Bayze
United, Neatherland) for his gracious commitment to donate 150
euros/month for complexity research in Bandung Fe Institute. His
kindness obviously has stimulated a good spirit on research in the
institute and encouraging to doing better research progress. May God
bless us all especially them supporting advancement of scientific
endeavors.
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