On the problem of calibrating an agent based model for financial markets
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DOI: 10.1007/s11403-012-0096-3
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Cited by:
- Lamperti, Francesco & Roventini, Andrea & Sani, Amir, 2018.
"Agent-based model calibration using machine learning surrogates,"
Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 366-389.
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- Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Papers 1703.10639, arXiv.org, revised Apr 2017.
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Elsevier, vol. 90(C), pages 366-389.
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More about this item
Keywords
Agent based model; Artificial markets; Calibration; Genetic algorithm; C13; C52; G10;JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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