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.
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Paper provided by Manitoba - Department of Economics in its series Papers with number
38.
Find related papers by JEL classification: C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods G12 - Financial Economics - - General Financial Markets - - - Asset Pricing D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
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