Calibration

Vincent Darley and Alexander Outkin
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Vincent Darley: President & CEO of Eurobios, UK and Los Alamos National Laboratory, USA

Chapter 6 in A NASDAQ Market Simulation:Insights on a Major Market from the Science of Complex Adaptive Systems, 2007, pp 89-110 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionResultsCalibration MethodologyCalibrating to the Trading Volume DistributionCalibration on the Individual LevelQuantitative Behaviors: Calibrating Simulated Strategies Against Real-World StrategiesParameter Discovery for Basic DealersParameter Discovery for Volume DealersTime series comparisonsStatistical analysisIdentification of Analytic ParasitesResults – Basic DealersResults – Volume Dealers and Parasitic DealersWealth Effects AnalysisConclusions

Keywords: Financial Markets; Agent-Based Modeling; Complexity; Dynamics; Emergent Behaviors; Simulation; Phase Transitions; Strategy (search for similar items in EconPapers)
Date: 2007
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