COMPLEX NETWORK ANALYSIS OF SECTORAL STOCKS ON INDONESIAâS GROSS DOMESTIC PRODUCT IN 2011-2020 USING THE MST AND RMT+MST METHOD
developing countries. It can analyze the economic development of a country from year to year. GDP can be interpreted as the number of products and services produced by a country during a certain period of time. Meanwhile, stock price index can represent existing market conditions In this final pr...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/49127 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | developing countries. It can analyze the economic development of a country from
year to year. GDP can be interpreted as the number of products and services
produced by a country during a certain period of time. Meanwhile, stock price
index can represent existing market conditions In this final project, the results of
sectoral stock studies and how they relate to Indonesia's GDP will be presented.
The method used is Minimum Spanning Tree (MST) method and combination of
Random Matrix Theory + Minimum Spanning Tree (RMT + MST). RMT is used
as noise filtering while MST is a type of network that is formed from sectoral
stock price data. The results showed that the network topology formed for sectoral
stock data in 2011-2020 was quite in line with the state of Indonesia's GDP. In
addition a quantitative analysis is carried out, called centrality. This centrality
analysis is used to determine which sectors have the dominant influence in the
network formed. The use of the MST method results in an alignment of 73%.
Whereas the combination of the RMT + MST method only 64%. The difference
results between the two methods is composition of the network topology and their
centrality. |
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