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Agent-based Model Construction In Financial Economic System

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  • Hokky Situngkir
  • 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.

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Paper provided by arXiv.org in its series Papers with number nlin/0403041.

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Date of creation: Mar 2004
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Handle: RePEc:arx:papers:nlin/0403041

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  1. Georg Zimmermann & Ralph Neuneier & Ralph Grothmann, 2001. "Multi-Agent Market Modeling Of Foreign Exchange Rates," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 29-43.
  2. P. Bak & M. Paczuski & M. Shubik, 1996. "Price Variations in a Stock Market with Many Agents," Working Papers, Santa Fe Institute 96-09-075, Santa Fe Institute.
  3. Hokky Situngkir & Yohanes Surya, 2003. "PLATFORM BANGUNAN MULTI-AGEN DALAM ANALISIS KEUANGAN: gambaran deskriptif komputasi," Departmental Working Papers, Bandung Fe Institute wps2003, Bandung Fe Institute.
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Cited by:
  1. Hokky Situngkir & Yohanes Surya, 2005. "What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?," Papers physics/0504210, arXiv.org, revised May 2005.

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