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Statistical Facts of Artificial Stock Market: Comparison with Indonesian Empirical Data

Author

Listed:
  • Hokky Situngkir

    (Bandung Fe Institute)

  • Yohanes Surya

    (Surya Research Intl.)

Abstract

The paper reports the construction of artificial stock market that emerges the similar statistical facts with real data in Indonesian stock market. We use the individual but dominant data, i.e.: PT TELKOM in hourly interval. The artificial stock market shows standard statistical facts, e.g.: volatility clustering, the excess kurtosis of the distribution of return, and the scaling properties with its breakdown in the crossover of Levy distribution to the Gaussian one. From this point, the artificial stock market will always be evaluated in order to have comprehension about market process in Indonesian stock market generally.

Suggested Citation

  • Hokky Situngkir & Yohanes Surya, 2004. "Statistical Facts of Artificial Stock Market: Comparison with Indonesian Empirical Data," Finance 0408004, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0408004
    Note: Type of Document - pdf; pages: 10
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0408/0408004.pdf
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    More about this item

    Keywords

    artificial stock market; agent based model; statistical facts of stock market;
    All these keywords.

    JEL classification:

    • G - Financial Economics

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