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