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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; … - 2014
In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appropriate calibration enables the model to describe price time series. We formulate the calibration problem as a...
Persistent link: https://www.econbiz.de/10010464388
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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; … - 2014
In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appropriate calibration enables the model to describe price time series. We formulate the calibration problem as a...
Persistent link: https://www.econbiz.de/10010463489
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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; … - In: Journal of economic dynamics & control 60 (2015), pp. 1-25
Persistent link: https://www.econbiz.de/10011575069
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Validating and Calibrating Agent-based Models: a Case Study
Cirillo, Pasquale; Bianchi, Carlo; Gallegati, Mauro; … - Society for Computational Economics - SCE - 2006
In this paper we deal with the validation of an agent-based model and, in particular, with the technical validation …. Today, thanks to some important studies, validation techniques are more and more complete and reliable: many distributional … discuss further in this paper. The validation results (both graphical and analytical) are quite promising. As calibration …
Persistent link: https://www.econbiz.de/10005132620
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Validating and Calibrating Agent-Based Models: A Case Study
Bianchi, Carlo; Cirillo, Pasquale; Gallegati, Mauro; … - In: Computational Economics 30 (2007) 3, pp. 245-264
Persistent link: https://www.econbiz.de/10005701738
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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; … - Institut für Volkswirtschaftslehre, … - 2014
In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appropriate calibration enables the model to describe price time series. We formulate the calibration problem as a...
Persistent link: https://www.econbiz.de/10011123695