The literature on agent-based models has been highly successful in replicating many stylized facts of financial and macroeconomic time series. Over the past decade, however, also advances in the estimation of such models have been made. Due to the inherent heterogeneity of agents and...

In this study, we investigate the dynamics behind informed investors' trading decisions among European stock, options and credit default swap markets. This allows us to identify the predictive explanatory power of the unique information contained in each market with respect to future stock, CDS...