Agent-based Model Construction In Financial Economic System
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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- 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.
- 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.
- 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.
- 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 3.
- Hokky Situngkir & Yohanes Surya, 2003. "PLATFORM BANGUNAN MULTI-AGEN DALAM ANALISIS KEUANGAN: gambaran deskriptif komputasi," Departmental Working Papers wps2003, Bandung Fe Institute.
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