Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of financial market data to assess the similarity of simulation outcomes.

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Year of publication:	2001-07-01
Authors:	Winker, Peter ; Gilli, Manfred
Publisher:	School of Business Administration <Bruchsal>
Subject:	Kapitalmarkt \| Modell \| Agent <Informatik> \| agent-based-simulations

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Extent:	161792 bytes 11 p. application/pdf
Series:	Internationale Universität Bruchsal Arbeitspapiere ; 3 (2001)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; D83 - Search, Learning, Information and Knowledge ; G12 - Asset Pricing ; Business data processing. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005844975