The econometric analysis of agent-based models in finance: An application
(2007)
Journal Article
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
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 th... Read More about The econometric analysis of agent-based models in finance: An application.