TY  - INPR
ID  - cogprints3767
UR  - http://cogprints.org/3767/
A1  - Situngkir, Mr Hokky
A1  - Surya, Prof. Yohanes
TI  - Agent-based Model Construction in Financial
Economic System
Y1  - 2004/08//
N2  - 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. 
AV  - public
KW  - artificial stock market
KW  -  agent based model
KW  -  statistical facts of stock market
ER  -

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