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

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

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Peter Winker
Manfred Gilli

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Peter Winker

Abstract

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 314.

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Date of creation: 01 Jul 2002
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Handle: RePEc:sce:scecf2:314

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Paper
- Winmker, P. & Gilli, M., 2001. "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Papers 38, Manitoba - Department of Economics.
- Peter Winker and Manfred Gilli, 2001. "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Computing in Economics and Finance 2001 59, Society for Computational Economics.
- Manfred GILLI, & Peter WINKER, 2001. "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," FAME Research Paper Series rp38, International Center for Financial Asset Management and Engineering. [Downloadable!]

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

Cited by:
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Boswijk, H.P. & Hommes C.H. & Manzan, S., 2005. "Behavioral Heterogeneity in Stock Prices," CeNDEF Working Papers 05-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Other versions:
- Peter Boswijk & Cars H. Hommes & Sebastiano Manzan, 2005. "Behavioral Heterogeneity in Stock Prices," Tinbergen Institute Discussion Papers 05-052/1, Tinbergen Institute. [Downloadable!]
- Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June. [Downloadable!] (restricted)
Carlo Bianchi & Pasquale Cirillo & Mauro Gallegati & Pietro Vagliasindi, 2007. "Validating and Calibrating Agent-Based Models: A Case Study," Computational Economics, Springer, vol. 30(3), pages 245-264, October. [Downloadable!] (restricted)
Other versions:
- Pasquale Cirillo & Carlo Bianchi & Mauro Gallegati & Pietro Vagliasindi, 2006. "Validating and Calibrating Agent-based Models: a Case Study," Computing in Economics and Finance 2006 277, Society for Computational Economics.

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