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Indirect estimation of the parameters of agent based models of financial markets

Winker, Peter; Gilli, Manfred - 2001

Persistent link: https://www.econbiz.de/10001641864

Indirect estimation of the parameters of agent based models of financial markets

Winker, Peter - 2001

Persistent link: https://www.econbiz.de/10013441014

Market microstructure: a self-organizing map approach to investigate behavior dynamics under an evolutionary environment

Kampouridis, Michael; Chen, Shu-Heng; Tsang, Edward P. K. - In: Natural computing in computational finance : volume 4, (pp. 181-197). 2011

Persistent link: https://www.econbiz.de/10009423545

Multi-agent FX-market modeling by neural networks

Zimmermann, Hans Georg; Grothmann, R.; Neuneier, R. - In: Operations research proceedings 2001 : selected papers …, (pp. 413-420). 2002

Persistent link: https://www.econbiz.de/10001677576

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...