A calibration procedure for analyzing stock price dynamics in an agent-based framework

DOI10.1016/J.JEDC.2015.08.003zbMath1401.91564OpenAlexW2122279589MaRDI QIDQ1657455

Maria Cristina Recchioni, Gabriele Tedeschi, Mauro Gallegati

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10234/160676

zbMATH Keywords

asset pricingcalibrationforecastingheterogeneous beliefsvalidationagent-based models

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Heterogeneous agent models (91B69)

Related Items (16)

Selection of the distributional rule as an alternative tool to foster cooperation in a public good game ⋮ Bayesian estimation of agent-based models ⋮ Empirical properties of a heterogeneous agent model in large dimensions ⋮ A method for agent-based models validation ⋮ Estimation of financial agent-based models with simulated maximum likelihood ⋮ Agent-based model calibration using machine learning surrogates ⋮ Estimation of agent-based models using sequential Monte Carlo methods ⋮ Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality ⋮ A comparison of economic agent-based model calibration methods ⋮ From bond yield to macroeconomic instability: a parsimonious affine model ⋮ Business fluctuations in a behavioral switching model: gridlock effects and credit crunch phenomena in financial networks ⋮ Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets ⋮ Multi-agent-based VaR forecasting ⋮ Detecting and measuring financial cycles in heterogeneous agents models: an empirical analysis ⋮ Implicit government guarantees and the externality of portfolio diversification: a complex network approach ⋮ Search for profits and business fluctuations: how does banks' behaviour explain cycles?

Uses Software

• meboot

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