A global optimization heuristic for estimating agent based models
From MaRDI portal
Publication:951870
DOI10.1016/S0167-9473(02)00214-1zbMath1429.65123OpenAlexW2079940549MaRDI QIDQ951870
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
global optimizationsimplex algorithmthreshold acceptingvalidationagent based modelsindirect estimation
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical mathematical programming methods (65K05) Approximation methods and heuristics in mathematical programming (90C59)
Related Items
Estimation of ergodic agent-based models by simulated minimum distance ⋮ Structural stochastic volatility in asset pricing dynamics: estimation and model contest ⋮ Herding behaviour and volatility clustering in financial markets ⋮ A method for agent-based models validation ⋮ Estimation of financial agent-based models with simulated maximum likelihood ⋮ Direct comparison of agent-based models of herding in financial markets ⋮ Emergence of innovation networks from R\&D cooperation with endogenous absorptive capacity ⋮ Agent-based model calibration using machine learning surrogates ⋮ A calibration procedure for analyzing stock price dynamics in an agent-based framework ⋮ Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality ⋮ A comparison of economic agent-based model calibration methods ⋮ Heuristic optimisation in financial modelling ⋮ On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets ⋮ Varieties of agents in agent-based computational economics: a historical and an interdisciplinary perspective ⋮ Loss aversion in an agent-based asset pricing model ⋮ Validating and calibrating agent-based models: a case study ⋮ Multi-agent-based VaR forecasting ⋮ Strategy switching in the Japanese stock market ⋮ Heterogeneous expectations in the gold market: specification and estimation ⋮ Speculative behavior and the dynamics of interacting stock markets ⋮ Applications of optimization heuristics to estimation and modelling problems ⋮ A genetic estimation algorithm for parameters of stochastic ordinary differential equations ⋮ 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 ⋮ Discontinuities in indirect estimation: an application to EAR models ⋮ Estimation of a structural stochastic volatility model of asset pricing ⋮ Empirical validation of stochastic models of interacting agents ⋮ Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion ⋮ Behavioral heterogeneity in stock prices ⋮ Computational techniques for applied econometric analysis of macroeconomic and financial processes ⋮ Estimation of agent-based models: The case of an asymmetric herding model ⋮ Trading profitability from learning and adaptation on the Tokyo Stock Exchange ⋮ Search for profits and business fluctuations: how does banks' behaviour explain cycles?
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Optimization by Simulated Annealing
- Threshold accepting: A general purpose optimization algorithm appearing superior to simulated annealing
- On the convergence of ``threshold accepting
- Introduction to the special issue on agent-based computational economics
- Recent developments and trends in global optimization
- Agent-based computational finance: Suggested readings and early research
- Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
- A Simplex Method for Function Minimization
- Sequential Application of Simplex Designs in Optimisation and Evolutionary Operation
- Introduction (to the special issue: Agent-based computational economics)