Agent-based Model Construction In Financial Economic System
AbstractThe 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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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0405006.
Length: 10 pages
Date of creation: 04 May 2004
Date of revision:
Note: Type of Document - pdf; pages: 10
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multi-agent; financial analysis; fundamentalist and chartist strategy; Indonesia stock market.;
Other versions of this item:
- Hokky Situngkir & Yohanes Surya, 2004. "Agent-based Model Construction In Financial Economic System," Papers nlin/0403041, arXiv.org.
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-05-09 (All new papers)
- NEP-CMP-2004-05-09 (Computational Economics)
- NEP-FIN-2004-05-09 (Finance)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hokky Situngkir & Yohanes Surya, 2003. "PLATFORM BANGUNAN MULTI-AGEN DALAM ANALISIS KEUANGAN: gambaran deskriptif komputasi," Departmental Working Papers wps2003, Bandung Fe Institute.
- 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.
- P. Bak & M. Paczuski & Martin Shubik, 1996.
"Price Variations in a Stock Market with Many Agents,"
Cowles Foundation Discussion Papers
1132, Cowles Foundation for Research in Economics, Yale University.
- P. Bak & M. Paczuski & M. Shubik, 1996. "Price Variations in a Stock Market with Many Agents," Working Papers 96-09-075, Santa Fe Institute.
- Hokky Situngkir & Yohanes Surya, 2005.
"What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?,"
physics/0504210, arXiv.org, revised May 2005.
- Hokky Situngkir & Yohanes Surya, 2005. "What can we see from Investment Simulation based on Generalized (m,2)-Zipf law?," Finance 0504022, EconWPA.
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