Statistical Facts of Artificial Stock Market

Hokky Situngkir () and Yohanes Surya

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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.

Date: 2004-08
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