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A Common Protocol for Agent-Based Social Simulation
Richiardi, Matteo; Leombruni, Roberto; Saam, Nicole J.; … - In: Journal of Artificial Societies and Social Simulation 9 (2006) 1, pp. 15-15
with agent-based methodology in the top journals. We identify some methodological pitfalls that, according to us, are … to a general characterization of dynamic micro models, which encompasses both analytical and simulation models. In the …
Persistent link: https://www.econbiz.de/10005481619
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A Pragmatic Reading of Friedman's Methodological Essay and What It Tells Us for the Discussion of ABMs
Deichsel, Simon; Pyka, Andreas - In: Journal of Artificial Societies and Social Simulation 12 (2009) 4, pp. 6-6
The issues of empirical calibration of parameter values and functional relationships describing the interactions …
Persistent link: https://www.econbiz.de/10008461562
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Application of the decision support model to Czech exports
Urban, Matěj; Mejstřík, Michal; Chvalkovská, Jana … - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 22 (2014) 2, pp. 33-47
Persistent link: https://www.econbiz.de/10010408530
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A full test of a Romer's endogenous growth model
Gutiérrez Diez, Pedro José - In: International journal of economics and business research 10 (2015) 4, pp. 297-325
Persistent link: https://www.econbiz.de/10011449237
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
The field of computational finance is evolving ever faster. This book collects a number of novel contributions on the use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use of numerical methods for pricing, hedging, and risk...
Persistent link: https://www.econbiz.de/10012309311
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Stress testing and calibration of macroprudential policy tools
Górnicka, Lucyna; Valderrama, Laura - 2020
We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to calibrate borrower-based macroprudential tools....
Persistent link: https://www.econbiz.de/10012301885
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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; … - 2014
In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well …-known financial model of Brock and Hommes 1998, we show how an appropriate calibration enables the model to describe price time series …. We formulate the calibration problem as a nonlinear constrained optimization that can be solved numerically via a …
Persistent link: https://www.econbiz.de/10010463489
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Essays on economic sentiment dynamics and asymmetric multifractal models of financial volatility
Sushko, Stepan S. - 2021
Persistent link: https://www.econbiz.de/10012940057
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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; … - In: Journal of economic dynamics & control 60 (2015), pp. 1-25
Persistent link: https://www.econbiz.de/10011575069
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Agent-based model calibration using machine learning surrogates
Lamperti, Francesco; Roventini, Andrea; Sani, Amir - 2017
paper merges model simulation and output analysis into a surrogate meta-model, which substantially ease ABM calibration. We … exploration and calibration of ABMs combining supervised machine-learning and intelligent sampling to build a surrogate meta …
Persistent link: https://www.econbiz.de/10011630888