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Validation of Agent-Based Models in Economics and Finance

Author

Listed:
  • Giorgio Fagiolo

    (LEM - Laboratory of Economics and Management - SSSUP - Scuola Universitaria Superiore Sant'Anna = Sant'Anna School of Advanced Studies [Pisa])

  • Mattia Guerini

    (SSSUP - Scuola Universitaria Superiore Sant'Anna = Sant'Anna School of Advanced Studies [Pisa], OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po, GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis (1965 - 2019) - CNRS - Centre National de la Recherche Scientifique - UniCA - Université Côte d'Azur)

  • Francesco Lamperti

    (Laboratory of Economics and Management (LEM) - SSSUP - Scuola Universitaria Superiore Sant'Anna = Sant'Anna School of Advanced Studies [Pisa])

  • Alessio Moneta

    (SSSUP - Scuola Universitaria Superiore Sant'Anna = Sant'Anna School of Advanced Studies [Pisa])

  • Andrea Roventini

    (SSSUP - Scuola Universitaria Superiore Sant'Anna = Sant'Anna School of Advanced Studies [Pisa], OFCE - Observatoire français des conjonctures économiques (Sciences Po) - 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.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2019. "Validation of Agent-Based Models in Economics and Finance," Sciences Po Economics Publications (main) halshs-02375423, HAL.
    • Handle: RePEc:hal:spmain:halshs-02375423
    DOI: 10.1007/978-3-319-70766-2_31
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