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

Author

Listed:
  • Winmker, P.
  • Gilli, M.

Abstract

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.

Suggested Citation

  • Winmker, P. & Gilli, M., 2001. "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Papers 38, Manitoba - Department of Economics.
  • Handle: RePEc:fth:manito:38
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    Keywords

    ESTIMATION ; ECONOMIC MODELS ; FINANCIAL MARKET;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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