Similar Search Results

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

Winker, Peter; Gilli, Manfred - 2001

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. …

Persistent link: https://www.econbiz.de/10009138391

An objective function for simulation based inference on exchange rate data

Winker, Peter (contributor); Gilli, Manfred (contributor); … - 2007

estimation approach, e.g., for agent based microsimulation models or complex multifractal models, simulation based estimators …

Persistent link: https://www.econbiz.de/10003548061

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

Winker, Peter; Gilli, Manfred - 2001

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. …

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

An Objective Function for Simulation Based Inference on Exchange Rate Data

Winker, Peter; Gilli, Manfred; Jeleskovic, Vahidin - 2007

estimation approach, e.g., for agent basedmicrosimulationmodels or complex multifractal models, simulation based estimators might …

Persistent link: https://www.econbiz.de/10005816511

An Objective Function for Simulation Based Inference on Exchange Rate Data

Gilli, Manfred; Winker, Peter; Jeleskovic, Vahidin - Society for Computational Economics - SCE - 2006

estimation approach, e.g., for agent based microsimulation models or multifractal models, simulation based estimators might …

Persistent link: https://www.econbiz.de/10005132583

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

Winker, Peter; Gilli, Manfred - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345482

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

Gilli, Manfred - 2002

simulation of this behaviour and the resulting interaction of individuals provide a description of aggregate financial market …, methods for explicit validation are required. 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. Furthermore …

Persistent link: https://www.econbiz.de/10012741535

A Heuristic Approach to Portfolio Optimization

Kellezi, Evis; Gilli, Manfred - 2000

The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve complex portfolio choice problems.

Persistent link: https://www.econbiz.de/10005843226

A Heuristic Approach to Portfolio Optimization

Gilli, Manfred; Këllezi, Evis - Swiss Finance Institute - 2000

Constraints on downside risk, measured by shortfall probability, expected shortfall, semi-variance etc., lead to optimal asset allocations which differ from the meanvariance optimum. The resulting optimization problem can become quite complex as it exhibits multiple local extrema and...

Persistent link: https://www.econbiz.de/10005612058

Threshold Accepting for Index Tracking

Gilli, Manfred; Kellezi, Evis - Society for Computational Economics - SCE - 2001

In this paper we investigate the performance of the threshold accepting heuristic for the index tracking problem. The index tracking problem consists in minimizing the tracking error between a portfolio and a benchmark. The objective is to replicate the performance of a given index upon the...

Persistent link: https://www.econbiz.de/10005706724