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Direct calibration and comparison of agent-based herding models of financial markets

Barde, Sylvain - 2015

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...

Persistent link: https://www.econbiz.de/10010517721

An information theoretic criterion for empirical validation of time series models

Lamperti, Francesco - 2015

Simulated models suffer intrinsically from validation and comparison problems. The choice of a suitable indicator quantifying the distance between the model and the data is pivotal to model selection. However, how to validate and discriminate between alternative models is still an open problem...

Persistent link: https://www.econbiz.de/10010490842

Network Calibration and Metamodeling of a Financial Accelerator Agent Based Model

Bargigli, Leonardo - 2019

We introduce a financially constrained production framework in which heterogeneous firms and banks entertain multiple credit connections. The parameters of credit market interaction are estimated from real data in order to reproduce a set of empirical regularities of the Japanese credit market....

Persistent link: https://www.econbiz.de/10012903705

Macroeconomic simulation comparison with a multivariate extension of the Markov Information Criterion

Barde, Sylvain - 2019

Comparison of macroeconomic simulation models, particularly agent-based models (ABMs), with more traditional approaches … paper aims to address this issue by developing and testing a comparison framework for macroeconomic simulation models based …

Persistent link: https://www.econbiz.de/10012018797

Validation of agent-based models in economics and finance

Fagiolo, Giorgio; Guerini, Mattia; Lamperti, Francesco; … - 2017

Since the influential survey by Windrum et al. (2007), research on empirical validation of agent-based models in economics has made substantial advances, thanks to a constant flow of high-quality contributions. This Chapter attempts to take stock of such recent literature to offer an updated...

Persistent link: https://www.econbiz.de/10011729421

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

Wealth, cost, and misperception : empirical estimation of three interaction channels in a financial-macroeconomic agent-based model

Kukacka, Jiri; Zila, Erik - 2024

Financial-macroeconomic agent-based models offer a promising avenue for understanding complex economic interactions, but their use is hindered by challenging empirical estimation. Our paper addresses this gap by constructing a stylized integrated model and estimating its core parameters using US...

Persistent link: https://www.econbiz.de/10014532002

Hybrid Discrete Event and Agent Based Simulation Modeling of Career Development. Part 3 : Testing a Model and Analysis of Simulation Results

Cherkassky, Arkady; Bumagin, Eugene - 2021

This part of article is dedicated to testing and analysis of the modeling and simulation results of career development … processes. The simulation algorithm with some experimental data related to agent individual behavior characteristics, which was … schemes and the participation of VIP and super active agents in the career struggle. The simulation provided data to analyze …

Persistent link: https://www.econbiz.de/10014087212

Practicality of Agent-Based Modeling of Civil Violence : An Assessment

Thron, Chris - 2018

results with simulation. We also argue that the model does not accurately reflect the mechanisms that lead to riot formation …

Persistent link: https://www.econbiz.de/10012936952

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