Using the Heterogeneous Agent Model framework, we incorporate an extension based on Prospect Theory into a popular agent-based asset pricing model. The extension covers the phenomenon of loss aversion manifested in risk aversion and asymmetric treatment of gains and losses. Using Monte Carlo...

This paper proposes a general computational framework for empirical estimation of financial agent based models, for which criterion functions do not have known analytical form. For this purpose, we adapt a nonparametric simulated maximum likelihood estimation based on kernel methods. Employing...

Financial-macroeconomic agent-based models offer a promising avenue for understanding complex economic interactions, but their use is hindered by challenging empirical estimation. Our paper addresses this gap by constructing a stylized integrated model and estimating its core parameters using US...

This paper examines the behavior of adaptive agents in a stochastic dynamic version of the Hotelling's location model. We conduct an innovative agent-based simulation under the Hotelling's setting with two agents who use the Nash Q-learning mechanism for adaptation. This allows us to explore...

We examine the complexity of financial returns generated by popular agent-based models through studying multifractal properties of such time series. Specifically, we are interested in the sensitivity of the models to their parameter settings and whether some patterns emerge in the connection...

This paper proposes a general computational framework for empirical estimation of financial agent-based models, for which criterion functions have unknown analytical form. For this purpose, we adapt a recently developed nonparametric simulated maximum likelihood estimation based on kernel...