Empirical validation of stochastic models of interacting agents

DOI10.1140/EPJB/E2006-00385-4MaRDI QIDQ978855zbMATH OpenOpenAlexFDO

Authors Simone Alfarano, Thomas C. H. Lux, Friedrich Wagner

Publication date 25 June 2010

Published in The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1140/epjb/e2006-00385-4

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Heterogeneous agent models (91B69)

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Cites work

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Cited in

(8)

• Bayesian estimation of agent-based models
• Estimation of financial agent-based models with simulated maximum likelihood
• Selection of the distributional rule as an alternative tool to foster cooperation in a public good game
• A calibration procedure for analyzing stock price dynamics in an agent-based framework
• A method for agent-based models validation
• Stochastic resonance in an interacting-agent model of stock market.
• A comparison of economic agent-based model calibration methods
• Bayesian estimation and entropy for economic dynamic stochastic models: an exploration of overconsumption

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