Agent-based Model Construction In Financial Economic System

Hokky Situngkir () and Yohanes Surya ()

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 data post-statistical-data analysis and micro- simulation analysis. Theoretical exploration is carried out by using comparisons of some usual financial economy system models frequently and popularly used in econophysics and computational finance. Primitive model, which consists of agent microsimulation with fundamentalist strategy, chartist, and noise, was established with an expectation of adjusting micro-simulation analysis upon stock market in Indonesia. The result of simulation showing how financial economy data resulted analysis using statistical tools such as data distribution and central limit theorem, and several other macro-financial analysis tools previously shown (Situngkir & Surya, 2003b). This paper is ended with several further possible advancements from the model built.

Keywords: multi-agent; financial analysis; fundamentalist and chartist strategy; Indonesia stock market. (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp and nep-fin
Date: Written 2004-05-04
Note: Type of Document - pdf; pages: 10
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/fin/papers/0405/0405006.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in Finance from EconWPA
Series data maintained by EconWPA ().