Statistical Facts of Artificial Stock Market

BFI Working Paper No. WPS2004

10 Pages Posted: 13 Oct 2004

See all articles by Hokky Situngkir

Hokky Situngkir

Bandung Fe Institute; Center for Complexity in Surya University

Yohanes Surya

Surya Research Intl.

Date Written: June 2004

Abstract

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.

Keywords: Artificial stock market, agent based model, statistical facts of stock market

JEL Classification: E44

Suggested Citation

Situngkir, Hokky and Surya, Yohanes, Statistical Facts of Artificial Stock Market (June 2004). BFI Working Paper No. WPS2004. Available at SSRN: https://ssrn.com/abstract=601804 or http://dx.doi.org/10.2139/ssrn.601804

Hokky Situngkir (Contact Author)

Bandung Fe Institute ( email )

Sarimadu Permai 175
Bandung, Jawa Barat 40164
Indonesia
+622282025586 (Phone)

HOME PAGE: http://www.bandungfe.net

Center for Complexity in Surya University

Jl. Boulevard Gading Serpong Blok O/1
Summarecon Serpong
Tangerang, Banten 15810
Indonesia

Yohanes Surya

Surya Research Intl. ( email )

No Address Available

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