Economics at your fingertips  

On the problem of calibrating an agent based model for financial markets

Annalisa Fabretti ()

Journal of Economic Interaction and Coordination, 2013, vol. 8, issue 2, pages 277-293

Abstract: Agent based models are very widely used in different disciplines. In financial markets, they can be used to explain well known features called stylised facts and fit statistical properties of data. For this reason, they can model price movements better than standard models using gaussianity. Calibration and validation are essential issues in agent-based modeling. However, calibrating such models is not yet sufficiently considered in the literature. In this paper, a Nelder–Mead simplex algorithm coupled with threshold accepting algorithm (Gilli and Winker in Comput Stat Data Anal 42:299–312, 2003) and a genetic algorithm have been implemented to calibrate the model presented by Farmer and Joshi (J Econ Behav Org 49:149–171, 2002) and the outcomes have been compared and discussed. The data used are closing prices of S&P500 Composite index and a particular attention has been devoted to the choice of the objective function. Copyright Springer-Verlag 2013

Keywords: Agent based model; Artificial markets; Calibration; Genetic algorithm; C13; C52; G10 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

Journal of Economic Interaction and Coordination is currently edited by A. Namatame, Thomas Lux and R. Axtell

More articles in Journal of Economic Interaction and Coordination from Springer
Series data maintained by Guenther Eichhorn ().

Page updated 2014-08-28
Handle: RePEc:spr:jeicoo:v:8:y:2013:i:2:p:277-293