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...

Comparison of macroeconomic simulation models, particularly agent-based models (ABMs), with more traditional approaches such as VAR and DSGE models has long been identified as an important yet problematic issue in the literature. This is due to the fact that many such simulations have been...

Large scale, computationally expensive simulation models pose a particular challenge when it comes to estimating their parameters from empirical data. Most simulation models do not possess closed form expressions for their likelihood function, requiring the use of simulation-based inference,...