The econometric analysis of agent-based models in finance: An application

Li, Youwei; Donkers, Bas; Melenberg, Bertrand

Abstract

This paper illustrates how to compare different agent-based models and how to compare an agent-based model with real data. As examples we investigate ARFIMA models, the probability density function, and the spectral density function. We illustrate the methodology in an analysis of the agent-based model developed by Levy, Levy, Solomon (2000), and confront it with the S&P 500 for a comparison with real life data. © Springer-Verlag Berlin Heidelberg 2007.

Citation

Li, Y., Donkers, B., & Melenberg, B. (2007). The econometric analysis of agent-based models in finance: An application. Lecture notes in computer science, 4881 LNCS, 1081-1091. https://doi.org/10.1007/978-3-540-77226-2_108

• Journal Article Type: Conference Paper
• Publication Date: Jan 1, 2007
• Deposit Date: Mar 19, 2019
• Journal: Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
• Print ISSN: 0302-9743
• Electronic ISSN: 1611-3349
• Publisher: Springer Verlag
• Volume: 4881 LNCS
• Pages: 1081-1091
• Series Title: Lecture notes in computer science
• Series Number: 4881
• ISBN: 9783540772255
• DOI: https://doi.org/10.1007/978-3-540-77226-2_108
• Keywords: Benchmark model; Memory span; Spectral density function; Capital asset price model; Initial wealth
• Public URL: https://hull-repository.worktribe.com/output/1390136
• Publisher URL: https://link.springer.com/chapter/10.1007%2F978-3-540-77226-2_108