Statistical Facts of Artificial Stock Market

TL;DR

This paper constructs an artificial stock market model based on Indonesian stock data that replicates key statistical features of real markets, aiding understanding of market dynamics.

Contribution

It introduces a new artificial stock market model that reproduces statistical properties of Indonesian stock data, including volatility clustering and distribution scaling behaviors.

Findings

Replicates volatility clustering observed in real data

Shows excess kurtosis in return distribution

Demonstrates crossover from Levy to Gaussian distribution

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.