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Estimation of sentiment effects in financial markets : a simulated method of moments approach

Chen, Zhenxi; Lux, Thomas - 2015

We take the model of Alfarano et al. (Journal of Economic Dynamics & Control 32, 2008, 101-136) as a prototype agent-based model that allows reproducing the main stylized facts of financial returns. The model does so by combining fundamental news driven by Brownian motion with a minimalistic...

Persistent link: https://www.econbiz.de/10010501936

Simulated ML estimation of financial agent-based models

Baruník, Jozef; Kukačka, Jiří - 2016

This paper proposes computational framework for empirical estimation of Financial Agent-Based Models (FABMs) that does not rely upon restrictive theoretical assumptions. We customise a recent methodology of the Non-Parametric Simulated Maximum Likelihood Estimator (NPSMLE) based on kernel...

Persistent link: https://www.econbiz.de/10011448663

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

Kukacka, Jiri - 2018

This paper proposes a general computational framework for empirical estimation of financial agent-based models, for which criterion functions have unknown analytical form. For this purpose, we adapt a recently developed nonparametric simulated maximum likelihood estimation based on kernel...

Persistent link: https://www.econbiz.de/10012936102

A level set analysis and a nonparametric regression on S&P 500 daily return

Yang, Yipeng; Tsoi, Allanus - In: International Journal of Financial Studies : open … 4 (2016) 1, pp. 1-24

In this paper, a level set analysis is proposed which aims to analyze the S&P 500 return with a certain magnitude. It is found that the process of large jumps/drops of return tend to have negative serial correlation, and volatility clustering phenomenon can be easily seen. Then, a nonparametric...

Persistent link: https://www.econbiz.de/10011474458

A Brief Introduction to the Use of Machine Learning Techniques in the Analysis of Agent-Based Models

Pereda, María; Santos, José; Galan, Jose Manuel - 2015

design of experiments. It then focuses on considering an ABM simulation as a computational experiment relating parameters … with a response variable of interest, i.e. a statistic obtained from the simulation. This perspective gives the opportunity … interpret and understand the relation between the parameters of the ABM and the results in the simulation …

Persistent link: https://www.econbiz.de/10014131786

Autonomously Interacting Banks

Lengwiler, Yvan; Maringer, Dietmar - 2011

The great financial turmoil that started 2007 has brought bank regulation back into the political debate. There is talk about imposing new regulations on banks and other financial intermediaries. Yet, we are not convinced that it is completely understood how the existing regulation affects...

Persistent link: https://www.econbiz.de/10011390660

Firms formation and growth in the model with heterogeneous agents and monitoring

Marko, Peter; Švarc, Petr - 2008

In this article we extend the agent-based model of firms' formation and growth proposed in [4]. In [4] the firms' creation, expansion or contraction results from the interaction of heterogeneous utility maximizers. While the original model was able to replicate the power law distribution in the...

Persistent link: https://www.econbiz.de/10010322258