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This paper proposes a new method for empirically validate simulation models that generate artificial time series data … able to tackle both the problem of confronting theoretical simulation models with the data and the problem of comparing …
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The present paper aims to test a new model comparison methodology by calibrating and comparing three agent-based models of financial markets on the daily returns of 18 indices. The models chosen for this empirical application are the herding model of Gilli & Winker, its asymmetric version by...
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