Agent-based model calibration using machine learning surrogates
From MaRDI portal
Publication:1657336
DOI10.1016/j.jedc.2018.03.011zbMath1401.91461arXiv1703.10639OpenAlexW2604765399WikidataQ130055065 ScholiaQ130055065MaRDI QIDQ1657336
Francesco Lamperti, Andrea Roventini, Amir Sani
Publication date: 13 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.10639
Applications of statistics to economics (62P20) Design of statistical experiments (62K99) Heterogeneous agent models (91B69)
Related Items (9)
Estimation of agent-based models using sequential Monte Carlo methods ⋮ Co-existence of trend and value in financial markets: estimating an extended Chiarella model ⋮ A comparison of economic agent-based model calibration methods ⋮ Estimation of heuristic switching in behavioral macroeconomic models ⋮ Mission-oriented policies and the ``Entrepreneurial state at work: an agent-based exploration ⋮ Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations ⋮ Estimation of agent-based models using Bayesian deep learning approach of BayesFlow ⋮ Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion ⋮ Automated and distributed statistical analysis of economic agent-based models
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Structural stochastic volatility in asset pricing dynamics: estimation and model contest
- Schumpeter meeting Keynes: a policy-friendly model of endogenous growth and business cycles
- Handbook of computational economics. Vol. 2: Agent-based computational economics
- Income distribution, credit and fiscal policies in an agent-based Keynesian model
- A global optimization heuristic for estimating agent based models
- Behavioral heterogeneity in stock prices
- Estimation of agent-based models: The case of an asymmetric herding model
- Empirical characterization of random forest variable importance measures
- Bayesian emulation of complex multi-output and dynamic computer models
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Emergent dynamics of a macroeconomic agent based model with capital and credit
- Tipping points in macroeconomic agent-based models
- Estimation of ergodic agent-based models by simulated minimum distance
- Fiscal and monetary policies in complex evolving economies
- When more flexibility yields more fragility: the microfoundations of Keynesian aggregate unemployment
- Bayesian estimation of agent-based models
- Agent based-stock flow consistent macroeconomics: towards a benchmark model
- Estimation of financial agent-based models with simulated maximum likelihood
- Direct comparison of agent-based models of herding in financial markets
- A calibration procedure for analyzing stock price dynamics in an agent-based framework
- Economic convergence: policy implications from a heterogeneous agent model
- The impact of heterogeneous trading rules on the limit order book and order flows
- Validating and calibrating agent-based models: a case study
- Quasi-Random Sequences and Their Discrepancies
- A Rational Route to Randomness
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Equation of State Calculations by Fast Computing Machines
- Random forests
This page was built for publication: Agent-based model calibration using machine learning surrogates