Stock Price Dynamics of The Jakarta Composite Index Modelled by PSO-Assisted Anharmonic Quantum Oscillator Tony Sumaryada (a*), Anisah Rahajeng Kartika Sari (a), Agus Kartono (a)
(a) Department of Physics, IPB University, Kampus IPB Dramaga Bogor, Indonesia 16680
*tsumaryada[at]apps.ipb.ac.id
Abstract
In this paper we have modelled the stock price dynamics of the Jakarta Composite Index (JCI) by using an anharmonic quantum oscillator and the PSO (Particle Swarm Optimization) Algorithm. Some of the constants that affect the probability density of return are the ability of the market makers to control the market (γ-), the behavior of contrarians and the trend followers to the price return (c), and the investor behavior towards perceived volatility (k). The simulation results have produced the smallest error of the Jakarta Composite Index at 8.36% for the opportunity density and 3.6% for the stock price returns. The probability density of the stock price return of JCI using the exponential smoothing method resulted in 17.77% error for opportunity density and 10.6% error on stock price return.
