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Agent-based Model Construction In Financial Economic System

  • Hokky Situngkir

    ()

  • Yohanes Surya

    ()

    (Dept. Computational Sociology, Bandung Fe Institute)

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    The paper gives picture of enrichment to economic and financial system analysis using agentbased 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 Bandung Fe Institute in its series Departmental Working Papers with number wpa2004.

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    Date of creation: Jan 2004
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    Handle: RePEc:bfe:wpsbfi:wpa2004
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