THE TREND AND DYNAMICS DISTRIBUTION OF THE JAKARTA STOCK EXCHANGE (JSX) COMPOSITE

Year 2012, Volume: 4 Issue: 1, 77 - 85, 01.06.2012

Edi Cahyono Buyung Sarita Pasrun Adam Femy Puspita Arisanti

Abstract

In this paper we discuss the dynamics of the Jakarta Stock Exchange (JSX)
Composite. The dynamics indicates performance indicator of several industries in
Indonesia. The data is presented as time series. To predict the dynamics from the
data, however, is still difficult. In general, it is almost impossible to predict such
dynamics for the case of high frequency data. Hence, we do not predict the
dynamics. Rather, we seek the trend and the probability density function (pdf).
For a ‘small’ period of time, the pdf is based on the assumption that the dynamics
is normally distributed. Mathematically speaking, this is a time averaging of data,
and in some cases the data is presented in the form of candle sticks. The trend will
be approximated by a higher order polynomial function which is sought by
applying a least square methods. On the other hand, the probability density
function of the data within each candle stick is obtained by computing standard
deviation of the data with respect to the trend in the candle stick.

Keywords

Jakarta Stock Exchange, JSX Composite, Dynamics, Trend Curve

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