Cogprints

Agent-based Model Construction in Financial Economic System

Situngkir, Mr Hokky and Surya, Prof. Yohanes (2004) Agent-based Model Construction in Financial Economic System. [Conference Paper] (In Press)

Full text available as:

[img]
Preview
 PDF
128Kb

Abstract

The paper gives picture of enrichment to economic and financial system analysis using agent-based models as a form of advanced study for financial economic post-statistical-data and micro-simulation analysis. The paper reports the construction of artificial stock market that emerges the similar statistical facts with real data in Indonesian stock market. We use the individual but dominant data, i.e.: PT TELKOM in hourly interval. The artificial stock market shows standard statistical facts, e.g.: volatility clustering, the excess kurtosis of the distribution of return, and the scaling properties with its breakdown in the crossover of Levy distribution to the Gaussian one. From this point, the artificial stock market will always be evaluated in order to have comprehension about market process in Indonesian stock market generally.

Item Type:Conference Paper
Keywords:artificial stock market, agent based model, statistical facts of stock market
Subjects:Computer Science > Complexity Theory
ID Code:3767
Deposited By: Situngkir, Mr Hokky
Deposited On:03 Sep 2004
Last Modified:11 Mar 2011 08:55

References in Article

Select the SEEK icon to attempt to find the referenced article. If it does not appear to be in cogprints you will be forwarded to the paracite service. Poorly formated references will probably not work.

Bak P, Paczuski M, & Shubik M (1996) Price Variations in a Stock Market with Many Agents. Pre-print: arXiv:cond-mat/9609144

Bruun C (1999) Agent-Based Keynesian Economics - Simulating a Monetary Production System Bottom-Up. On-line Publications URL: http://www.socsci.auc.dk/~cbruun/abke.pdf

Castiglione Fillipo (2001) Microsimulation of Complex System Dynamics. Inaugural Dissertation, Universität zu Köln

Challet D, Marsili M, Zhang (1999) Modeling Market Mechanism with Minority Game. Pre-print: arxiv:cond-mat/9909265

Cont R, Bouchaud JP (2000) Herd Behavior and Aggregate Fluctuations in Financial Market. Macroeconomic Dynamics 4:170-196

Farmer JD (2001) Toward Agent Based Models for Investment. Benchmarks and Attribution Analysis. Association for Investment and Management Research pp 61-70

Hariadi Y, Surya Y (2003) Multifraktal: Telkom, Indosat, & HMSP. Working Paper WPT2003. Bandung Fe Institute

King AJ, Streltchenko O, Yesha Y (2003) Multi-agent Simulations for Financial Markets. On-line Publication URL: http://www.csee.umbc.edu/~finin/cv/

LeBaron B (2002) Building the Santa Fe Artificial Stock Market. Woking Paper Brandeis University. URL: http://www.brandeis.edu/~blebaron

Mantegna RM, Stanley HE (2000) An Introduction to Econophysics: Correlations and Complexity in Finance. Cambridge University Press.

Situngkir H (2003) Emerging the Emergence Sociology: The Philosophical Framework of Agent-Based Social Studies. Journal of Social Complexity 1(2):3-15. Bandung Fe Institute

Situngkir H, Surya Y (2003a) Platform Bangunan Multi-Agen dalam Analisis Keuangan: Gambaran Deskriptif Komputasi. Working Paper WPS2003. Bandung Fe Institute

Situngkir H, Surya Y (2003b) Stylized Statistical Facts of Indonesian Financial Data: Empirical Study of Several Stock Indexes in Indonesia. Working Paper WPU2003. Bandung Fe Institute. Pre-print: arxiv:cond-mat:0403465

Situngkir H, Surya Y (2004) Agent-based Model Construction In Financial Economic System. Working Paper WPA2004. Bandung Fe Institute. Pre-print: arxiv:nlin.AO/0403041

Surya Y, Situngkir H, Hariadi Y, Suroso R (2004) Aplikasi Fisika dalam Analisis Keuangan: Mekanika Statistika Interaksi Agen. Bina Sumber Daya MIPA.

Takahashi H, Terano T (2003) Agent Based Approach toInvestor’s Behavior and Asset Price Fluctuation in Financial Markets. Journal of Artificial Societies and Social Simulation 6(3). URL: http:// jasss.soc.surrey.ac.uk/63/3.html

Tesfatison L (2002) Agent-Based Computational Economics: Growing Economics from the Bottom Up. ISU Economic Working Paper No.1. Iowa State University.

Zimmerman G, Neuneier R, Grothmann R (2001) Multi-Agent Market Modeling of Foreign Exchange Rates. Advances in Complex System 4(1):29-43. World Scientific.

Metadata

Repository Staff Only: item control page

Cogprints is powered by EPrints 3 which is developed by the School of Electronics and Computer Science at the University of Southampton. More information and software credits.