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Following Alfarano et al. [Estimation of agent-based models: the case of an asymmetric herding model, Comput. Econ. 26 (2005) 19–49; Excess volatility and herding in an artificial financial market: analytical approach and estimation, in: W. Franz, H. Ramser, M. Stadler (Eds.),...
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Several agent-based models have been proposed in the economic literature to explain the key stylized facts of financial data: heteroscedasticity, fat tails of returns and long-range dependence of volatility. Agentbased models view these empirical regularities as emerging properties of...
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The behavioral origins of the stylized facts of financial returns have been addressed in a growing body of agent-based models of financial markets. While the traditional efficient market viewpoint explains all statistical properties of returns by similar features of the news arrival process, the...
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The present paper expands on recent attempts at estimating the parameters of simple interacting-agent models of financial markets [S. Alfarano, T. Lux, F. Wagner, Computational Economics <Emphasis Type="Bold">26, 19 (2005); S. Alfarano, T. Lux, F. Wagner, in Funktionsfähigkeit und Stabilität von...</emphasis>
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