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Agent-based Model Construction In Financial Economic System

Author

Listed:
  • Hokky Situngkir

    (Bandung Fe Institute)

  • Yohanes Surya

    (Universitas Pelita Harapan)

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.

Suggested Citation

  • Hokky Situngkir & Yohanes Surya, 2004. "Agent-based Model Construction In Financial Economic System," Finance 0405006, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0405006
    Note: Type of Document - pdf; pages: 10
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    References listed on IDEAS

    as
    1. Bak, P. & Paczuski, M. & Shubik, M., 1997. "Price variations in a stock market with many agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 430-453.
    2. Hiroshi Takahashi & Takao Terano, 2003. "Agent-Based Approach to Investors? Behavior and Asset Price Fluctuation in Financial Markets," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 6(3), pages 1-3.
    3. 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., vol. 4(01), pages 29-43.
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    Cited by:

    1. Fatih Cavdur & Soundar Kumara, 2014. "Network mining: Applications to business data," Information Systems Frontiers, Springer, vol. 16(3), pages 473-490, July.
    2. Hokky Situngkir & Yohanes Surya, 2005. "What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?," Finance 0504022, University Library of Munich, Germany.

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    More about this item

    Keywords

    multi-agent; financial analysis; fundamentalist and chartist strategy; Indonesia stock market.;
    All these keywords.

    JEL classification:

    • G - Financial Economics

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