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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
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Firms formation and growth in the model with heterogeneous agents and monitoring
Marko, Peter (contributor); Švarc, Petr (contributor) - 2008
about firms‘ sizes distribution. -- monitoring ; firms' size ; power law ; agent-based model ; simulation ; heterogeneous …
Persistent link: https://www.econbiz.de/10003790274
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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
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Determinants and policy simulation of firms cooperation in innovation
Heshmati, Almas; Lenz-Cesar, Flávio - 2013
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 …
Persistent link: https://www.econbiz.de/10009766256
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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
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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
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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
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Financial Market Simulation
Jacobs, Ph.D., Bruce I. - 2017
When they want to see how complex systems work, scientists often turn to asynchronous-time simulation, which allows … a simulation may be able to provide a more realistic picture of complex markets …
Persistent link: https://www.econbiz.de/10012973137
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Twitter Financial Community Modeling Using Agent Based Simulation
Yang, Steve Y. - 2015
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 …
Persistent link: https://www.econbiz.de/10013034681
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Automated and distributed statistical analysis of economic agent-based models
Vandin, Andrea; Giachini, Daniele; Lamperti, Francesco; … - 2020
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 …
Persistent link: https://www.econbiz.de/10012308914