A global optimization heuristic for estimating agent based models
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Publication:951870
DOI10.1016/S0167-9473(02)00214-1zbMATH Open1429.65123OpenAlexW2079940549MaRDI QIDQ951870FDOQ951870
Authors: Manfred Gilli, Peter Winker 
Publication date: 4 November 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-9473(02)00214-1
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- scientific article; zbMATH DE number 2084630
global optimizationvalidationagent based modelssimplex algorithmthreshold acceptingindirect estimation
Computational methods for problems pertaining to statistics (62-08) Numerical mathematical programming methods (65K05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximation methods and heuristics in mathematical programming (90C59)
Cites Work
- Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
- Optimization by simulated annealing
- A Simplex Method for Function Minimization
- Handbook of applied optimization
- Recent developments and trends in global optimization
- Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing
- Agent-based computational finance: Suggested readings and early research
- Sequential Application of Simplex Designs in Optimisation and Evolutionary Operation
- Optimization heuristics in econometrics. Applications of threshold accepting
- On the convergence of ``threshold accepting
- Introduction to the special issue on agent-based computational economics
- Introduction (to the special issue: Agent-based computational economics)
Cited In (38)
- Generation of prediction optimal projection on latent factors by a stochastic search algorithm
- Second special issue on computational econometrics
- Optimal aggregation of linear time series models
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- Discontinuities in indirect estimation: an application to EAR models
- Heterogeneous expectations in the gold market: specification and estimation
- Agent-based optimization
- Estimation of ergodic agent-based models by simulated minimum distance
- Estimation of financial agent-based models with simulated maximum likelihood
- Bayesian estimation of large-scale simulation models with Gaussian process regression surrogates
- Herding behaviour and volatility clustering in financial markets
- Search for profits and business fluctuations: how does banks' behaviour explain cycles?
- A calibration procedure for analyzing stock price dynamics in an agent-based framework
- Varieties of agents in agent-based computational economics: a historical and an interdisciplinary perspective
- Speculative behavior and the dynamics of interacting stock markets
- Development and calibration of a currency trading strategy using global optimization
- Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion
- Trading profitability from learning and adaptation on the Tokyo Stock Exchange
- Global optimization of costly non-convex functions with financial applications
- Heuristic optimisation in financial modelling
- Loss aversion in an agent-based asset pricing model
- Validating and calibrating agent-based models: a case study
- Structural stochastic volatility in asset pricing dynamics: estimation and model contest
- A method for agent-based models validation
- Direct comparison of agent-based models of herding in financial markets
- Estimation of a structural stochastic volatility model of asset pricing
- Computational techniques for applied econometric analysis of macroeconomic and financial processes
- Emergence of innovation networks from R\&D cooperation with endogenous absorptive capacity
- Agent-based model calibration using machine learning surrogates
- Strategy switching in the Japanese stock market
- A genetic estimation algorithm for parameters of stochastic ordinary differential equations
- Behavioral heterogeneity in stock prices
- Estimation of agent-based models: The case of an asymmetric herding model
- On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets
- A comparison of economic agent-based model calibration methods
- Applications of optimization heuristics to estimation and modelling problems
- Multi-agent-based VaR forecasting
- Empirical validation of stochastic models of interacting agents
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