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Validating and Calibrating Agent-Based Models: A Case Study

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Author Info
Carlo Bianchi
Pasquale Cirillo ()
Mauro Gallegati
Pietro Vagliasindi

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10614-007-9097-z
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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 30 (2007)
Issue (Month): 3 (October)
Pages: 245-264
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Handle: RePEc:kap:compec:v:30:y:2007:i:3:p:245-264

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Web page: http://www.springerlink.com/link.asp?id=100248

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Related research
Keywords: Validation; Calibration; Agent-based models; Indirect inference; Size distribution; Tail analysis; EVT;

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  1. Bruce C. Greenwald & Joseph E. Stiglitz, 1990. "Macroeconomic Models with Equity and Credit Rationing," NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 15-42 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:
  2. Winmker, P. & Gilli, M., 2001. "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Papers 38, Manitoba - Department of Economics.
    Other versions:
  3. Giulio Bottazzi & Angelo Secchi, 2005. "Explaining the Distribution of Firms Growth Rates," LEM Papers Series 2005/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
    Other versions:
  4. Gilli, M. & Winker, P., 2003. "A global optimization heuristic for estimating agent based models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 299-312, March. [Downloadable!] (restricted)
  5. Corrado Di Guilmi & Edoardo Gaffeo & Mauro Gallegati, 2003. "Power Law Scaling in the World Income Distribution," Economics Bulletin, Economics Bulletin, vol. 15(6), pages 1-7. [Downloadable!]
  6. Bianchi, Carlo & Cirillo, Pasquale & Gallegati, Mauro & Vagliasindi, Pietro A., 2008. "Validation in agent-based models: An investigation on the CATS model," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 947-964, September. [Downloadable!] (restricted)
  7. Domenico Delli Gatti & Corrado Di Guilmi & Edoardo Gaffeo & Gianfranco Giulioni & Mauro Gallegati & Antonio Palestrini, 2004. "Business Cycle Fluctuations And Firms' Size Distribution Dynamics," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 223-240. [Downloadable!] (restricted)
  8. Bruce C. Greenwald & Joseph E. Stiglitz, 1993. "Financial Market Imperfections and Business Cycles," NBER Working Papers 2494, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  9. Paul Windrum & Giorgio Fagiolo & Alessio Moneta, 2007. "Empirical Validation of Agent-Based Models: Alternatives and Prospects," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 10. [Downloadable!]
  10. Kleijnen, J.P.C., 1997. "Experimental design for sensitivity analysis, optimization, and validation of simulation models," Discussion Paper 52, Tilburg University, Center for Economic Research. [Downloadable!]
  11. Klevmarken, N. Anders, 1998. "Statistical Inference in Micro Simulation Models: Incorporating external information," Working Paper Series 1998:20, Uppsala University, Department of Economics. [Downloadable!]
    Other versions:
  12. Mauro Gallegati & Gianfranco Giulioni & Nozomi Kichiji, 2003. "Complex Dynamics And Financial Fragility In An Agent-Based Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 267-282. [Downloadable!] (restricted)
    Other versions:
  13. Gatti, Domenico Delli & Guilmi, Corrado Di & Gaffeo, Edoardo & Giulioni, Gianfranco & Gallegati, Mauro & Palestrini, Antonio, 2005. "A new approach to business fluctuations: heterogeneous interacting agents, scaling laws and financial fragility," Journal of Economic Behavior & Organization, Elsevier, vol. 56(4), pages 489-512, April. [Downloadable!] (restricted)
  14. Domenico Delli Gatti, Mauro Gallegati, Gianfranco Giulioni, Antonio Palestrini, -DISCUSSANT: Thomas Brenner, 2000. "Financial Fragility, Patterns Of Firms' Entry And Exit And Aggregate Dynamics," Computing in Economics and Finance 2000 282, Society for Computational Economics. [Downloadable!]
    Other versions:
  15. Robert Axelrod, 1997. "Advancing the Art of Simulation in the Social Sciences," Working Papers 97-05-048, Santa Fe Institute.
  16. R. Quandt, 1966. "Old and new methods of estimation and the pareto distribution," Metrika, Springer, vol. 10(1), pages 55-82, December. [Downloadable!] (restricted)
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