In this paper, we propose a two-market empirical model with heterogeneous agents based on Chiarella et al. (2012). Using monthly data of French and US stock markets, the regression shows that individual markets have feature of two-regime switching process. By including inter-market traders whose...

In addition to the traditional agent types of fundamentalists and chartists, a new dimension of investment horizon is included in evaluating historical performance of strategies. Based on the three stock markets of Japan, Hong Kong and Germany, it is found that investors with different...

We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach of Alfarano et al. (2008) as an example. Since we are able to derive various moment conditions for this model, we can apply generalized method of moments (GMM) estimation. We...

We take the model of Alfarano et al. (Journal of Economic Dynamics & Control 32, 2008, 101-136) as a prototype agent-based model that allows reproducing the main stylized facts of financial returns. The model does so by combining fundamental news driven by Brownian motion with a minimalistic...