Working paper/research report

Publication year: 2001

DOI Link: https://doi.org/10.2139/ssrn.300220

Title of series: FAME Working Paper

Number in series: 38

Abstract: 

Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interaction of individuals provide a description of aggregate financial market time series. Although the outcomes of such simulations often exhibit similarities with real financial market time series, methods for explicit validation are required. 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. Furthermore, the parameters of the agent based models can be estimated by maximizing this similarity. The paper presents details of this estimation approach and first results for the US-$/DM exchange rate.

Harvard Citation style: Winker, P. and Gilli, M. (2001) Indirect Estimation of the Parameters of Agent Based Models of Financial Markets. (FAME Working Paper, 38). Geneva: International Center for Financial Asset Management and Engineering (FAME). https://doi.org/10.2139/ssrn.300220

APA Citation style: Winker, P., & Gilli, M. (2001). Indirect Estimation of the Parameters of Agent Based Models of Financial Markets. (FAME Working Paper, 38). International Center for Financial Asset Management and Engineering (FAME). https://doi.org/10.2139/ssrn.300220