Statistical Characteristics of Jakarta Composite Index (JCI) Dynamics based on Short Term Data Represented in Candles

Abstract

This paper presents the dynamics of Jakarta Composite Index (JCI) where the data were observed daily from January 2008 to October 2012. The data are presented in candle forms, as often used in online trading software. Statistical analysis on the average and the variance is applied on every month candle representations. The average and the standard deviation may vary on each candle, meaning that they depend on time. The average that depends on time indicates a trend of the dynamics. On the other hand, the average and the standard deviation yield the so-called probability density function (pdf) which depends on time called temporal-pdf (t-pdf). The trend and the probability of the dynamics of JCI are implicitly represented in the t-pdf. The t-pdf of the dynamics of JCI is the main concern of this paper. Understanding the t-pdf will help investors deal with the dynamics of JCI. Keywords: