Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

P. Winmker and Manfred Gilli (manfred.gilli@unige.ch)
Authors registered in the RePEc Author Service: Peter Winker

Working Papers from Manitoba - Department of Economics

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. Al-though the outcomes of such simulations often exhibit similarities with eal financial market time series, methods for explicit validation are required. This paper proposes validation using simulation based indirect estimation.

Keywords: ESTIMATION; ECONOMIC MODELS; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C15 D83 G12 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2001
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Citations: View citations in EconPapers (36)

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Related works:
Working Paper: Indirect Estimation of the Parameters of Agent Based Models of Financial Markets (2002)
Working Paper: Indirect Estimation of the Parameters of Agent Based Models of Financial Markets (2001)
Working Paper: Indirect Estimation of the Parameters of Agent Based Models of Financial Markets (2001)
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