about firms‘ sizes distribution. -- monitoring ; firms' size ; power law ; agent-based model ; simulation ; heterogeneous …

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 … included for each financial series to provide a benchmark for the explanatory power of the models. The methodology provides a …

This research introduces an agent-based simulation model representing the dynamic processes of cooperative R&D in the … translated into simulation parameters which are calibrated to the point that the simulated artificial world are equivalent to the … one observed in the real world. The aim of the simulation game is to investigate the differences in sector responses to …

univariate asset pricing models, and that the sensitivity of the present model to the specification of the SMM estimator could … carry over to many related agent-based models of financial markets as well as to similar diffusion processes in mathematical …

Simulated models suffer intrinsically from validation and comparison problems. The choice of a suitable indicator … between alternative models is still an open problem calling for further investigation, especially in light of the increasing … models' synthetic output replicates the properties of observable time series without the need to resort to any likelihood …

When they want to see how complex systems work, scientists often turn to asynchronous-time simulation, which allows … processes to change sporadically over time, typically at irregular intervals. While rarely used in finance today, such models … a simulation may be able to provide a more realistic picture of complex markets …

financial market. This paper presents an agent-based simulation framework to model the Twitter network growth and message … propagation pattern. Simulation of the 2013 Associated Press hoax incident demonstrates that removing critical nodes of the …

We propose a novel approach to the statistical analysis of simulation models and, especially, agent-based models (ABMs … time given the modeller's machine, (iv) automatically chooses the number of required simulations and simulation steps to … effectiveness of our approach, we apply it to two models from the literature: a large scale macro-financial ABM and a small scale …