Statistical Facts of Artificial Stock Market
BFI Working Paper No. WPS2004
10 Pages Posted: 13 Oct 2004
Date Written: June 2004
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: Suggested Citation