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)

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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

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