Introduction. The objects of investigation of this work are micro-level behaviors in stock markets. We aim at better understanding which strategies of market participants drive stock markets. The problem is that micro-level data from real stock markets are largely unobservable. We take an...

We propose a method for estimating complex heterogeneous agent-based models, especially their time-varying micro data, based on time-varying real-world macro data . We estimate the model at high frequency without posing simplifying assumptions on the model or the estimation process. We estimate...