In this paper we introduce a calibration procedure suitable for the validation of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appro- priate calibration technique makes the model able to describe price time series.The calibration...

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...

In this chapter we present a stylized financial agent-based model able to reproduce some important regularities emerging in financial time series . Following Tedeschi et al. (Eur Phys J B, 71(4), 489–497, 2009) and Tedeschi et al. (J Econ Behav Organ, 81(1), 82–96, 2012c), we show how an...

This paper aims to shed light on the emergence of systemic risk in credit systems. By developing an interbank market with heterogeneous financial institutions granting loans on different network structures, we investigate what market architecture is more resilient to liquidity shocks and how the...