NEWSLETTER BANDUNG FE INSTITUTE 27-02-2005
Bandung Fe Institute
NEWSLETTER BANDUNG FE INSTITUTE (BFI)
February 27 2005
NEW RESEARCH PAPERS have been updated for Indonesian readers!
There are two new papers uploaded this month in BFI official website.
1. Asymmetric GARCH and Monte Carlo Simulation for time-series
forecasting. The paper is authored by Yun Hariadi and Yohanes Surya.
The paper elaborated the leverage effect turn out the asymmetric GARCH
model. The paper presents that there should be a better result for
time-series data forecasting purposes by using the Monte Carlo
Simulation. The data used as example is the F/X data per 1 minute, 2
minutes, and 1 hour of GBP/USD fluctuations.
2. Investment simulation with Zipf law. The paper authored by Hokky
Situngkir and Yohanes Surya. The paper introduced a well-known method
of Zipf plot on investment by transforming the time-series data into
"words" constituted by two letters/characters, i.e.: "u" and "d", both
representing the ups and downs fluctuation respectively. The idea comes
from R/S analysis on Hurst exponent in time-series wavelet analysis.
There are various data used in the simulation, i.e.: the daily data of
Dowjones, Nasdaq, and Jakarta Composite Index, sessional data of
Nikeii225 and Hangseng Index, and F/X data of daily Yen/USD, and
GBP/USD on scale of hourly and daily.
Since the two papers are written for Indonesian readers, there are
still no English version available yet. However, we will let you know
if they are available already. For Indonesian readers, you can download
the papers at: http://www.bandungfe.net/wp2005/2005a.pdf and
http://www.bandungfe.net/wp2005b.pdf.
FEBRUARY GENERAL LECTURE: MONTE-CARLO SIMULATION
There has been general lecture delivered by Yun Hariadi, the chairman
of Dept. Dynamical System Modeling, in Room dx BFI on February 22 2005.
The topic was the introduction to Monte-Carlo Simulations for many
mathematical purposes. The lecture is expected to initiate new ideas on
research incorporating mathematical and computational simulations in
the institute. For Indonesian readers, the hand-out can be downloaded
at: http://www.bandungfe.net/hs/genlec02.pdf
March general lecture will theme "Introduction to Computational
Linguistics" presented by Rendra Suroso, the chairman of Dept.
Cognitive Science, Wednesday, March 16 2004, at B. Von Neumann, BFI
Office. The lecture is expected to cover as wide as possible areas in
order to introduce the cognitive science to as many as possible
researchers. The lecture is open for will be delivered in Indonesian
with very limited seats. Please mail b...@bandungfe.net if you are
interested.
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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