Direct comparison of agent-based models of herding in financial markets

DOI10.1016/J.JEDC.2016.10.005MaRDI QIDQ1656464zbMATH OpenOpenAlexFDO

Authors Sylvain Barde

Publication date 10 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://spire.sciencespo.fr/hdl:/2441/7kr9gv74ut9ngo58gia97t83i7

zbMATH Keywords

agent-based modelsherding behaviourmodel selection

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Heterogeneous agent models (91B69) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• A global optimization heuristic for estimating agent based models
• A Reality Check for Data Snooping
• Automatic Block-Length Selection for the Dependent Bootstrap
• Estimation of a structural stochastic volatility model of asset pricing
• Estimation of agent-based models: The case of an asymmetric herding model
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• On Information and Sufficiency
• Simulation-based inference. A survey with special reference to panel data models
• Structural stochastic volatility in asset pricing dynamics: estimation and model contest
• The context-tree weighting method: basic properties
• The Distribution of Realized Exchange Rate Volatility
• The heterogeneous expectations hypothesis: Some evidence from the lab
• The Model Confidence Set
• The Stationary Bootstrap
• Validating and calibrating agent-based models: a case study
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited in

(17)

• A method for agent-based models validation
• Agent-based model calibration using machine learning surrogates
• Estimation of agent-based models using sequential Monte Carlo methods
• A calibration procedure for analyzing stock price dynamics in an agent-based framework
• Automated and distributed statistical analysis of economic agent-based models
• Co-existence of trend and value in financial markets: estimating an extended Chiarella model
• Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
• A comparison of economic agent-based model calibration methods
• An agent-based approach for time-series momentum and reversal
• Multi-agent-based VaR forecasting
• Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion
• Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets
• Modeling of Herding and Wealth Distribution in Large Markets
• Unveiling the relation between herding and liquidity with trader lead-lag networks
• Loss aversion in an agent-based asset pricing model
• Herd behavior, bubbles and social interactions in financial markets
• Dynamics of a class of financial herding models with multi-groups

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