agent-based strongmodelstrong construction in financial economic strongsystemstrong.pdfVIP

Agent-based Model Construction in Financial Economic System Hokky Situngkir (hs@) Dept. Computational Sociology Bandung Fe Institute Yohanes Surya (yohaness@.id) Surya Research Intl. 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. Keywords: artificial stock market, agent based model, statistical facts of stock market. Stock market has been widely recognized as complex system with many interacting agents involve in the price formation. Furthermore, the recent development of computational technology forges analysis from any disciplines to use agent-based model as one of analytical tools for giving better understanding of social system, in this case, financial system e.g.: price fluctuations. There have been some previous and important milestones in this endeavor, e.g.: some platforms of agent-based model (Farmer, 2001), the minority model (Challet et.al, 1999), the Santa Fe model (LeBaron 2002), and the gate to the computational economics (Tesfatsion, 2002). The paper presented here can be seen as a fur