Indirect Estimation of the Parameters of Agent Based Models of Financial Markets
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.
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|Date of creation:||01 Jul 2002|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.cepremap.cnrs.fr/sce2002.html/|
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