Statistical Facts of Artificial Stock Market

Details Statistical Facts of Artificial Stock Market Statistical Facts of Artificial Stock Market

2004-08-16

arxiv.org/abs/cond-mat/0408358v1

Physics

Condensed Matter

Other Condensed Matter

10 pages, 5 figures

Scientific paper

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.

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