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Agent-based Model Construction In Financial Economic System

Author

Listed:
  • Hokky Situngkir

    ()

  • Yohanes Surya

    () (Dept. Computational Sociology, Bandung Fe Institute)

Abstract

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.

Suggested Citation

  • Hokky Situngkir & Yohanes Surya, 2004. "Agent-based Model Construction In Financial Economic System," Departmental Working Papers wpa2004, Bandung Fe Institute.
  • Handle: RePEc:bfe:wpsbfi:wpa2004
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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.
    2. repec:spr:infosf:v:16:y:2014:i:3:d:10.1007_s10796-012-9355-z is not listed on IDEAS

    More about this item

    Keywords

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

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