Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of financial market data to assess the similarity of simulation outcomes.

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Year of publication:	2001-11-01
Authors:	Winker, Peter ; Gilli, Manfred
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Kapitalmarktforschung \| capital market research \| Agency-Theorie \| Anlageverhalten \| Simulation \| simulation \| Eingeschränkte Rationalität \| Kapitalmarkteffizienz \| Schätzung

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Table of Contents
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1. Introduction
2. Characteristics of financial market data
3. A simple agent based model
4. First results and further results
5. Conclusion

Persistent link: https://www.econbiz.de/10009138391