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A state-space approach for time-series prediction of an heterogeneous agent model
Gusella, Filippo; Ricchiuti, Giorgio - 2022
Persistent link: https://www.econbiz.de/10013357273
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The rational inattention filter
Maćkowiak, Bartosz; Matějka, Filip; Wiederholt, Mirko - 2017
Dynamic rational inattention problems used to be difficult to solve. This paper provides simple, analytical results for dynamic rational inattention problems. We start from the benchmark rational inattention problem. An agent tracks a variable of interest that follows a Gaussian process. The...
Persistent link: https://www.econbiz.de/10011636897
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Artificial long memory effects in two agent-based asset pricing models
Franke, Reiner - 2008
This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...
Persistent link: https://www.econbiz.de/10003738658
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A minimal noise trader model with realistic time series properties
Alfarano, Simone (contributor); Lux, Thomas (contributor) - 2006
Simulations of agent-based models have shown that the stylized facts (unit-root, fat tails and volatility clustering) of financial markets have a possible explanation in the interactions among agents. However, the complexity, originating from the presence of non-linearity and interactions, often...
Persistent link: https://www.econbiz.de/10003392142
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An information theoretic criterion for empirical validation of time series models
Lamperti, Francesco - 2015
Simulated models suffer intrinsically from validation and comparison problems. The choice of a suitable indicator quantifying the distance between the model and the data is pivotal to model selection. However, how to validate and discriminate between alternative models is still an open problem...
Persistent link: https://www.econbiz.de/10010490842
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A minimal noise trader model with realistic time series properties
Alfarano, Simone (contributor); Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001781210
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Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility
Sushko, Stepan S. - 2021
Persistent link: https://www.econbiz.de/10012940057
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State space model to detect cycles in heterogeneous agents models
Gusella, Filippo; Ricchiuti, Giorgio - 2021
Persistent link: https://www.econbiz.de/10012518331
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State Space Model to Detect Cycles in Heterogeneous Agents Models
Gusella, Filippo; Ricchiuti, Giorgio - 2021
We propose an empirical test to depict possible endogenous cycles within Heterogeneous Agent Models (HAMs). We consider a 2-type HAM into a standard small-scale dynamic asset pricing framework. On the one hand, fundamentalists base their expectations on the deviation of fundamental value from...
Persistent link: https://www.econbiz.de/10013225981
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Assessor Rationality Across Differing Forecast Series
Vonnegut, Andrew - 2015
Extensive empirical studies on the rationality of expectations as defined by Muth have revolved around tests on a … single series of forecast data, with results differing widely across studies. Rationality as an assessor characteristic has … long been of interest in economic theory and practice. However, as non-replicated events, single series tests do not …
Persistent link: https://www.econbiz.de/10014138043