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McAleer, Michael; Chan, Felix; Oxley, Les - 2013

through the comparison of simultaneous and sequential estimation, modelling tail credit risk using transition matrices …

Persistent link: https://www.econbiz.de/10010326266

Lasso-type and heuristic strategies in model selection and forecasting

Savin, Ivan; Winker, Peter - 2012

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

Persistent link: https://www.econbiz.de/10010291802

Speculative behavior and the dynamics of interacting stock markets

Schmitt, Noemi; Westerhoff, Frank - 2013

We develop a simple agent-based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets. Speculators' strategy/market selections are repeated at each time step and depend on predisposition effects, herding...

Persistent link: https://www.econbiz.de/10010327219

Prices, debt and market structure in an agent-based model of the financial market

Fischer, Thomas; Riedler, Jesper - 2013

We develop an agent-based model in which heterogeneous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the...

Persistent link: https://www.econbiz.de/10010328040

On the initialization of adaptive learning in macroeconomic models

Berardi, Michele; Galimberti, Jaqueson K. - 2016

estimation-based. We conduct several simulations comparing the accuracy of the initial estimates provided by these methods and … how they affect the accuracy of other estimated model parameters. We find evidence against their joint estimation with … attenuated by penalizing the variance of estimation errors. Even so, the joint estimation of learning initials with other model …

Persistent link: https://www.econbiz.de/10011582421

Smoothing-based initialization for learning-to-forecast algorithms

Berardi, Michele; Galimberti, Jaqueson K. - 2017

Under adaptive learning, recursive algorithms are proposed to represent how agents update their beliefs over time. For applied purposes these algorithms require initial estimates of agents perceived law of motion. Obtaining appropriate initial estimates can become prohibitive within the usual...

Persistent link: https://www.econbiz.de/10011662409

Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets

Schmitt, Noemi; Westerhoff, Frank H. - 2019

We propose an empirically motivated financial market model in which speculators rely on trend-following, contrarian and fundamental trading rules to determine their orders. Speculators' probabilistic rule-selection behavior - the only type of randomness in our model - depends on past and future...

Persistent link: https://www.econbiz.de/10012023996

An agent-based model of intra-day financial markets dynamics

Staccioli, Jacopo; Napoletano, Mauro - 2018

We propose a parsimonious agent-based model of a financial market at the intra-day time scale that is able to jointly reproduce many of the empirically validated stylised facts. These include properties related to returns (leptokurtosis, absence of linear autocorrelation, volatility clustering),...

Persistent link: https://www.econbiz.de/10012060628

An approximation of the distribution of learning estimates in macroeconomic models

Galimberti, Jaqueson K. - 2019

Adaptive learning under constant-gain allows persistent deviations of beliefs from equilibrium so as to more realistically reflect agents' attempt of tracking the continuous evolution of the economy. A characterization of these beliefs is therefore paramount to a proper understanding of the role...

Persistent link: https://www.econbiz.de/10012111089

Traders, forecasters and financial instability: A model of individual learning of anchor-and-adjustment heuristics

Makarewicz, Tomasz - 2019

Behavioral and experimental literature on financial instability focuses on either subjective price expectations (Learning-to-Forecast experiments) or individual trading (Learning-to-Optimize experiments). Bao et al. (2017) have shown that subjects have problems with both tasks. In this paper, I...

Persistent link: https://www.econbiz.de/10011960099

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