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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
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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
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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
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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
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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
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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
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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
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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
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Replicating hedge fund indices with optimization heuristics
Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010
Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...
Persistent link: https://www.econbiz.de/10003979515
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A review of heuristic optimization methods in econometrics
Gilli, Manfred; Winker, Peter - 2008
Estimation and modelling problems as they arise in many fields often turn out to be intractable by standard numerical methods. One way to deal with such a situation consists in simplifying models and procedures. However, the solutions to these simplified problems might not be satisfying. A...
Persistent link: https://www.econbiz.de/10003961503