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Agent-based model calibration using machine learning surrogates

Lamperti, Francesco; Roventini, Andrea; Sani, Amir - 2017

paper merges model simulation and output analysis into a surrogate meta-model, which substantially ease ABM calibration. We …

Persistent link: https://www.econbiz.de/10011630888

Validation of agent-based models in economics and finance

Fagiolo, Giorgio; Guerini, Mattia; Lamperti, Francesco; … - 2017

Since the influential survey by Windrum et al. (2007), research on empirical validation of agent-based models in economics has made substantial advances, thanks to a constant flow of high-quality contributions. This Chapter attempts to take stock of such recent literature to offer an updated...

Persistent link: https://www.econbiz.de/10011729421

Estimation of agent-based models using sequential Monte Carlo methods

Lux, Thomas - 2017

resorted to simulation-based methods mostly using some form of simulated method of moments estimation (SMM). There is, however …

Persistent link: https://www.econbiz.de/10011748807

Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo

Lux, Thomas - 2020

Over the last decade, agent-based models in economics have reached a state of maturity that brought the tasks of statistical inference and goodness-of-fit of such models on the agenda of the research community. While most available papers have pursued a frequentist approach adopting either...

Persistent link: https://www.econbiz.de/10012164264

Firms formation and growth in the model with heterogeneous agents and monitoring

Marko, Peter; Švarc, Petr - 2008

In this article we extend the agent-based model of firms' formation and growth proposed in [4]. In [4] the firms' creation, expansion or contraction results from the interaction of heterogeneous utility maximizers. While the original model was able to replicate the power law distribution in the...

Persistent link: https://www.econbiz.de/10010322258

Firms formation and growth in the model with heterogeneous agents and monitoring

Marko, Peter (contributor); Švarc, Petr (contributor) - 2008

about firms‘ sizes distribution. -- monitoring ; firms' size ; power law ; agent-based model ; simulation ; heterogeneous …

Persistent link: https://www.econbiz.de/10003790274

Determinants and policy simulation of firms cooperation in innovation

Heshmati, Almas; Lenz-Cesar, Flávio - 2013

This research introduces an agent-based simulation model representing the dynamic processes of cooperative R&D in the … translated into simulation parameters which are calibrated to the point that the simulated artificial world are equivalent to the … one observed in the real world. The aim of the simulation game is to investigate the differences in sector responses to …

Persistent link: https://www.econbiz.de/10009766256

An information theoretic criterion for empirical validation of time series models

Lamperti, Francesco - 2015

Simulated models suffer intrinsically from validation and comparison problems. The choice of a suitable indicator quantifying the distance between the model and the data is pivotal to model selection. However, how to validate and discriminate between alternative models is still an open problem...

Persistent link: https://www.econbiz.de/10010490842

Estimation of sentiment effects in financial markets : a simulated method of moments approach

Chen, Zhenxi; Lux, Thomas - 2015

We take the model of Alfarano et al. (Journal of Economic Dynamics & Control 32, 2008, 101-136) as a prototype agent-based model that allows reproducing the main stylized facts of financial returns. The model does so by combining fundamental news driven by Brownian motion with a minimalistic...

Persistent link: https://www.econbiz.de/10010501936

Direct calibration and comparison of agent-based herding models of financial markets

Barde, Sylvain - 2015

The present paper aims to test a new model comparison methodology by calibrating and comparing three agent-based models of financial markets on the daily returns of 18 indices. The models chosen for this empirical application are the herding model of Gilli & Winker, its asymmetric version by...

Persistent link: https://www.econbiz.de/10010517721