Statistical Facts of Artificial Stock Market: Comparison with Indonesian Empirical Data

Hokky Situngkir () and Yohanes Surya ()

Finance from University Library of Munich, Germany

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 (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 10 pages
Date: 2004-08-13
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; pages: 10
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0408004

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