Situngkir, Hokky; Surya, Yohanes - EconWPA - 2004
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 …