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Validation of Agent-Based Models in Economics and Finance

Author

Listed:
  • Giorgio Fagiolo

    (LEM - Laboratory of Economics and Management - Sant'Anna School of Advanced Studies)

  • Mattia Guerini

    () (Scuela Superiore Sant'Anna di Pisa, OFCE - OFCE - Sciences Po - Sciences Po)

  • Francesco Lamperti

    () (Laboratory of Economics and Management (LEM) - Scuola Superiore Sant'Anna [Pisa])

  • Alessio Moneta

    (Scuela Superiore Sant'Anna di Pisa)

  • Andrea Roventini

    () (Scuela Superiore Sant'Anna di Pisa, OFCE - OFCE - Sciences Po - Sciences Po)

Abstract

Since the influential survey by Windrum et al. (2007), research on empirical validation of agent-based models in economics has made substantial advances, thanks to a constant flow of high-quality contributions. This Chapter attempts to take stock of such recent literature to offer an updated critical review of existing validation techniques. We sketch a simple theoretical framework that conceptualizes existing validation approaches, which we discuss along three different dimensions: (i) comparison between artificial and real-world data; (ii) calibration and estimation of model parameters; and (iii) parameter space exploration.
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Suggested Citation

  • Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2019. "Validation of Agent-Based Models in Economics and Finance," Post-Print halshs-02375423, HAL.
  • Handle: RePEc:hal:journl:halshs-02375423
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-02375423
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    Cited by:

    1. Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01499344, HAL.
    2. Dosi, G. & Pereira, M.C. & Roventini, A. & Virgillito, M.E., 2019. "What if supply-side policies are not enough? The perverse interaction of flexibility and austerity," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 360-388.
    3. Giorgio Fagiolo & Daniele Giachini & Andrea Roventini, 2017. "Innovation, Finance, and Economic Growth: An Agent-Based Approach," LEM Papers Series 2017/30, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    4. Lamperti, F. & Dosi, G. & Napoletano, M. & Roventini, A. & Sapio, A., 2018. "Faraway, So Close: Coupled Climate and Economic Dynamics in an Agent-based Integrated Assessment Model," Ecological Economics, Elsevier, vol. 150(C), pages 315-339.
    5. repec:spr:jeicoo:v:13:y:2018:i:1:d:10.1007_s11403-017-0206-3 is not listed on IDEAS
    6. 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.
    7. Giorgio Fagiolo & Daniele Giachini & Andrea Roventini, 2017. "Innovation, Finance, and Economic Growth : an agent-based model," Sciences Po publications info:hdl:2441/1fai9i49vu8, Sciences Po.
    8. Francesco Lamperti & Giovanni Dosi & Mauro Napoletano & Andrea Roventini & Sandro Sapio, 2018. "And then he wasn't a she : Climate change and green transitions in an agent-based integrated assessment model," Sciences Po publications 28, Sciences Po.
    9. Mauro Napoletano, 2018. "A Short Walk on the Wild Side: Agent-Based Models and their Implications for Macroeconomic Analysis," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(3), pages 257-281.
    10. repec:eee:dyncon:v:104:y:2019:i:c:p:39-73 is not listed on IDEAS
    11. Mauro Napoletano & Eric Guerci & Nobuyuki Hanaki, 2018. "Recent advances in financial networks and agent-based model validation," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(1), pages 1-7, April.
    12. repec:spr:joevec:v:29:y:2019:i:1:d:10.1007_s00191-019-00609-y is not listed on IDEAS
    13. Papadopoulos, Georgios, 2019. "Income inequality, consumption, credit and credit risk in a data-driven agent-based model," Journal of Economic Dynamics and Control, Elsevier, vol. 104(C), pages 39-73.
    14. repec:eee:dyncon:v:100:y:2019:i:c:p:200-229 is not listed on IDEAS
    15. repec:eee:phsmap:v:503:y:2018:i:c:p:1092-1106 is not listed on IDEAS
    16. James Paulin & Anisoara Calinescu & Michael Wooldridge, 2018. "Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach," Papers 1805.08454, arXiv.org.
    17. Torsten Heinrich & Juan Sabuco & J. Doyne Farmer, 2019. "A simulation of the insurance industry: The problem of risk model homogeneity," Papers 1907.05954, arXiv.org, revised Nov 2019.
    18. Giovanni Dosi & Andrea Roventini, 2017. "Agent-Based Macroeconomics and Classical Political Economy: Some Italian Roots," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 3(3), pages 261-283, November.
    19. Heinrich, Torsten & Sabuco, Juan & Farmer, J. Doyne, 2019. "A simulation of the insurance industry: The problem of risk model homogeneity," MPRA Paper 95096, University Library of Munich, Germany.
    20. Giovanni Dosi & Andrea Roventini, 2019. "More is different ... and complex! the case for agent-based macroeconomics," Journal of Evolutionary Economics, Springer, vol. 29(1), pages 1-37, March.

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