Li, Youwei; Donkers, Bas; Melenberg, Bertrand - In: Quantitative Finance 10 (2010) 10, pp. 1187-1201
Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data. A related result is a methodology to compare different MS models with each other. For...