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Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model

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Cited by:

  1. S. Alfarano & T. Lux & F. Wagner, 2007. "Empirical validation of stochastic models of interacting agents," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(2), pages 183-187, January.
  2. Paul Grauwe & Yuemei Ji, 2018. "Behavioural Economics is Useful Also in Macroeconomics: The Role of Animal Spirits," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(2), pages 203-216, June.
  3. 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.
  4. Eminente, Clara & Artime, Oriol & De Domenico, Manlio, 2022. "Interplay between exogenous triggers and endogenous behavioral changes in contagion processes on social networks," Chaos, Solitons & Fractals, Elsevier, vol. 165(P1).
  5. S. Alfarano & M. Milakovic & M. Raddant, 2013. "A note on institutional hierarchy and volatility in financial markets," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 449-465, July.
  6. Kirill S. Glavatskiy & Mikhail Prokopenko & Adrian Carro & Paul Ormerod & Michael Harré, 2021. "Explaining herding and volatility in the cyclical price dynamics of urban housing markets using a large-scale agent-based model," SN Business & Economics, Springer, vol. 1(6), pages 1-21, June.
  7. Gallegati, Mauro & Kirman, Alan, 2019. "20 years of WEHIA: A journey in search of a safer road," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 5-14.
  8. Eduard Krkoska & Klaus Reiner Schenk-Hoppé, 2019. "Herding in Smart-Beta Investment Products," JRFM, MDPI, vol. 12(1), pages 1-14, March.
  9. Grosche, Stephanie & Heckelei, Thomas, 2014. "Price dynamics and financialization effects in corn futures markets with heterogeneous traders," Discussion Papers 172077, University of Bonn, Institute for Food and Resource Economics.
  10. Klein, Achim & Urbig, Diemo, 2008. "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper 116175, University Library of Munich, Germany, revised 30 Apr 2011.
  11. Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," CEPN Working Papers halshs-02956879, HAL.
  12. Todd Feldman & Shuming Liu, 2018. "A New Predictive Measure Using Agent-Based Behavioral Finance," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 941-959, April.
  13. Wieland, Volker & Binder, Michael & Lieberknecht, Philipp & Quintana, Jorge, 2017. "Model Uncertainty in Macroeconomics: On the Implications of Financial Frictions," CEPR Discussion Papers 12013, C.E.P.R. Discussion Papers.
  14. Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
  15. Gontis, V. & Havlin, S. & Kononovicius, A. & Podobnik, B. & Stanley, H.E., 2016. "Stochastic model of financial markets reproducing scaling and memory in volatility return intervals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1091-1102.
  16. Venelina Nikolova & Juan E. Trinidad Segovia & Manuel Fernández-Martínez & Miguel Angel Sánchez-Granero, 2020. "A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets," Mathematics, MDPI, vol. 8(8), pages 1-15, July.
  17. Zhenxi Chen & Thomas Lux, 2018. "Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach," Computational Economics, Springer;Society for Computational Economics, vol. 52(3), pages 711-744, October.
  18. Zhang, Jinyu & Zhang, Qiaosen & Li, Yong & Wang, Qianchao, 2023. "Sequential Bayesian inference for agent-based models with application to the Chinese business cycle," Economic Modelling, Elsevier, vol. 126(C).
  19. Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018. "Market entry waves and volatility outbursts in stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
  20. Aleksejus Kononovicius, 2017. "Empirical Analysis and Agent-Based Modeling of the Lithuanian Parliamentary Elections," Complexity, Hindawi, vol. 2017, pages 1-15, November.
  21. Kukacka, Jiri & Barunik, Jozef, 2013. "Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5920-5938.
  22. Platt, Donovan, 2020. "A comparison of economic agent-based model calibration methods," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  23. Krause, Sebastian M. & Bornholdt, Stefan, 2013. "Spin models as microfoundation of macroscopic market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4048-4054.
  24. Adri'an Carro & Ra'ul Toral & Maxi San Miguel, 2015. "Markets, herding and response to external information," Papers 1506.03708, arXiv.org, revised Jun 2015.
  25. Barde, Sylvain, 2020. "Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
  26. Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
  27. Federico Bassi & Raquel Ramos & Dany Lang, 2023. "Bet against the trend and cash in profits: An agent-based model of endogenous fluctuations of exchange rates," Journal of Evolutionary Economics, Springer, vol. 33(2), pages 429-472, April.
  28. Giorgio Fagiolo & Andrea Roventini, 2017. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(1), pages 1-1.
  29. Po-Keng Cheng & Young Shin Kim, 2017. "Speculative bubbles and crashes： Fundamentalists and positive‐feedback trading," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1381370-138, January.
  30. David Vidal-Tomás & Simone Alfarano, 2020. "An agent-based early warning indicator for financial market instability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 49-87, January.
  31. Vygintas Gontis & Aleksejus Kononovicius, 2013. "Fluctuation analysis of the three agent groups herding model," Papers 1305.5958, arXiv.org.
  32. Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June.
  33. Aleksejus Kononovicius & Vygintas Gontis, 2012. "Three-state herding model of the financial markets," Papers 1210.1838, arXiv.org, revised Jan 2013.
  34. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006. "Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 38-42.
  35. Dieci, Roberto & Westerhoff, Frank, 2011. "On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets," BERG Working Paper Series 79, Bamberg University, Bamberg Economic Research Group.
  36. Vygintas Gontis & Aleksejus Kononovicius, 2014. "Consentaneous Agent-Based and Stochastic Model of the Financial Markets," PLOS ONE, Public Library of Science, vol. 9(7), pages 1-12, July.
  37. Francesco Lamperti, 2018. "Empirical validation of simulated models through the GSL-div: an illustrative application," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(1), pages 143-171, April.
  38. Xu, Shaojun, 2023. "Behavioral asset pricing under expected feedback mode," International Review of Financial Analysis, Elsevier, vol. 86(C).
  39. Kononovicius, A. & Gontis, V., 2012. "Agent based reasoning for the non-linear stochastic models of long-range memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1309-1314.
  40. Todd Feldman & Daniel Friedman, 2010. "Human and Artificial Agents in a Crash-Prone Financial Market," Computational Economics, Springer;Society for Computational Economics, vol. 36(3), pages 201-229, October.
  41. He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October.
  42. 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.
  43. Xue-Zhong He & Youwei Li, 2017. "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
  44. Qingfu Liu & Yiuman Tse & Kaixin Zheng, 2021. "The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market," The Financial Review, Eastern Finance Association, vol. 56(4), pages 671-692, November.
  45. Daye Li & Rongrong Li & Qiankun Sun, 2017. "How the heterogeneity in investment horizons affects market trends," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1473-1482, March.
  46. Amilon, Henrik, 2008. "Estimation of an adaptive stock market model with heterogeneous agents," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 342-362, March.
  47. Fathi Abid & Bilel Kaffel, 2018. "The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 561-590, February.
  48. Ha Che-Ngoc & Nga Do-Thi & Thao Nguyen-Trang, 2023. "Profitability of Ichimoku-Based Trading Rule in Vietnam Stock Market in the Context of the COVID-19 Outbreak," Computational Economics, Springer;Society for Computational Economics, vol. 62(4), pages 1781-1799, December.
  49. Guerini, Mattia & Moneta, Alessio, 2017. "A method for agent-based models validation," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 125-141.
  50. He, Xue-Zhong & Li, Youwei & Zheng, Min, 2019. "Heterogeneous agent models in financial markets: A nonlinear dynamics approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 135-149.
  51. Raddant, Matthias & Wagner, Friedrich, 2013. "Phase transition in the S&P stock market," Kiel Working Papers 1846, Kiel Institute for the World Economy (IfW Kiel).
  52. Markus Demary, 2011. "Transaction taxes, greed and risk aversion in an agent-based financial market model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 1-28, May.
  53. Guy Maugis, Pierre-André, 2019. "Paradigm shifts," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-9.
  54. Hisakado, Masato & Mori, Shintaro, 2015. "Information cascade, Kirman’s ant colony model, and kinetic Ising model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 417(C), pages 63-75.
  55. Xiong, Hang & Payne, Diane & Kinsella, Stephen, 2016. "Peer effects in the diffusion of innovations: Theory and simulation," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 63(C), pages 1-13.
  56. Simone Landini & Mauro Gallegati & Joseph Stiglitz, 2015. "Economies with heterogeneous interacting learning agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 91-118, April.
  57. Tiziana Assenza & William A. Brock & Cars H. Hommes, 2017. "Animal Spirits, Heterogeneous Expectations, And The Amplification And Duration Of Crises," Economic Inquiry, Western Economic Association International, vol. 55(1), pages 542-564, January.
  58. Grazzini, Jakob & Richiardi, Matteo G. & Tsionas, Mike, 2017. "Bayesian estimation of agent-based models," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 26-47.
  59. Lux, Thomas & Alfarano, Simone, 2016. "Financial power laws: Empirical evidence, models, and mechanisms," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 3-18.
  60. Matthijs Lof, 2015. "Rational Speculators, Contrarians, and Excess Volatility," Management Science, INFORMS, vol. 61(8), pages 1889-1901, August.
  61. O. Hermsen, 2010. "Does Basel II destabilize financial markets? An agent-based financial market perspective," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 73(1), pages 29-40, January.
  62. Witte, Björn-Christopher, 2011. "Removing systematic patterns in returns in a financial market model by artificially intelligent traders," BERG Working Paper Series 82, Bamberg University, Bamberg Economic Research Group.
  63. Singh, Bharati, 2021. "A Bibliometric Analysis of Behavioral Finance and Behavioral Accounting," American Business Review, Pompea College of Business, University of New Haven, vol. 24(2), pages 198-230, November.
  64. Michael Wegener & Frank Westerhoff, 2012. "Evolutionary competition between prediction rules and the emergence of business cycles within Metzler’s inventory model," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 251-273, April.
  65. Kononovicius, Aleksejus & Ruseckas, Julius, 2019. "Order book model with herd behavior exhibiting long-range memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 171-191.
  66. Frank Westerhoff & Martin Hohnisch, 2007. "A note on interactions-driven business cycles," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(1), pages 85-91, June.
  67. Clio Ciaschini & Kateryna Tkach & Francesca Mariani & Maria Cristina Recchioni, 2019. "Speculative bubbles in agricultural commodity prices: detection and forecasting via market indicators," RIEDS - Rivista Italiana di Economia, Demografia e Statistica - The Italian Journal of Economic, Demographic and Statistical Studies, SIEDS Societa' Italiana di Economia Demografia e Statistica, vol. 73(2), pages 63-73, April-Jun.
  68. Francesco Lamperti, 2016. "Empirical Validation of Simulated Models through the GSL-div: an Illustrative Application," LEM Papers Series 2016/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  69. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2020. "Loss aversion in an agent-based asset pricing model," Quantitative Finance, Taylor & Francis Journals, vol. 20(2), pages 275-290, February.
  70. repec:hal:spmain:info:hdl:2441/dcditnq6282sbu1u151qe5p7f is not listed on IDEAS
  71. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, July-Dece.
  72. Frank Westerhoff & Martin Hohnisch, 2010. "Consumer sentiment and countercyclical fiscal policies," International Review of Applied Economics, Taylor & Francis Journals, vol. 24(5), pages 609-618.
  73. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
  74. Peter Winker & Manfred Gilli & Vahidin Jeleskovic, 2007. "An objective function for simulation based inference on exchange rate data," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(2), pages 125-145, December.
  75. Demary Markus, 2008. "Who Does a Currency Transaction Tax Harm More: Short-Term Speculators or Long-Term Investors?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 228-250, April.
  76. Blake LeBaron, 2021. "Microconsistency in Simple Empirical Agent-Based Financial Models," Computational Economics, Springer;Society for Computational Economics, vol. 58(1), pages 83-101, June.
  77. repec:hal:spmain:info:hdl:2441/13thfd12aa8rmplfudlgvgahff is not listed on IDEAS
  78. Simon Cramer & Torsten Trimborn, 2019. "Stylized Facts and Agent-Based Modeling," Papers 1912.02684, arXiv.org.
  79. Vygintas Gontis & Aleksejus Kononovicius, 2019. "Bessel-like birth-death process," Papers 1904.13064, arXiv.org, revised Oct 2019.
  80. Friedrich Wagner, 2011. "Market clearing by maximum entropy in agent models of stock markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(2), pages 121-138, November.
  81. Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
  82. Vygintas Gontis & Shlomo Havlin & Aleksejus Kononovicius & Boris Podobnik & H. Eugene Stanley, 2015. "Stochastic model of financial markets reproducing scaling and memory in volatility return intervals," Papers 1507.05203, arXiv.org, revised Oct 2016.
  83. Adrián Carro & Raúl Toral & Maxi San Miguel, 2015. "Markets, Herding and Response to External Information," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-28, July.
  84. Alfarano, Simone & Milaković, Mishael & Raddant, Matthias, 2009. "Network hierarchy in Kirman's ant model: fund investment can create systemic risk," Economics Working Papers 2009-09, Christian-Albrechts-University of Kiel, Department of Economics.
  85. Schmitt, Noemi & Westerhoff, Frank, 2014. "Speculative behavior and the dynamics of interacting stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
  86. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(5), pages 67-116.
  87. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
  88. Alfarano, Simone & Milakovic, Mishael, 2009. "Network structure and N-dependence in agent-based herding models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 78-92, January.
  89. Leonid Serkov & Sergey Krasnykh, 2023. "Peculiarity of Behavior of Economic Agents under Cognitive Constraints in a Semi-Open New Keynesian Model," Mathematics, MDPI, vol. 12(1), pages 1-22, December.
  90. Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010. "Behavioral heterogeneity in the option market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2273-2287, November.
  91. Nicolas, Maxime L.D., 2022. "Estimating a model of herding behavior on social networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  92. Nan Lu, 2018. "La modélisation de l’indice CAC 40 avec un modèle basé agent," Erudite Ph.D Dissertations, Erudite, number ph18-02 edited by François Legendre, December.
  93. Leonardo Bargigli & Luca Riccetti & Alberto Russo & Mauro Gallegati, 2020. "Network calibration and metamodeling of a financial accelerator agent based model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(2), pages 413-440, April.
  94. Aleksejus Kononovicius & Vygintas Gontis & Valentas Daniunas, 2012. "Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance," Papers 1202.3533, arXiv.org, revised Jun 2012.
  95. Albrecht Irle & Jonas Kauschke & Thomas Lux & Mishael Milaković, 2011. "Switching Rates And The Asymptotic Behavior Of Herding Models," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 359-376.
  96. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "Do heterogeneous beliefs diversify market risk?," The European Journal of Finance, Taylor & Francis Journals, vol. 17(3), pages 241-258.
  97. Francesco Lamperti, 2015. "An Information Theoretic Criterion for Empirical Validation of Time Series Models," LEM Papers Series 2015/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  98. Aleksejus Kononovicius & Vygintas Gontis, 2011. "Agent based reasoning for the non-linear stochastic models of long-range memory," Papers 1106.2685, arXiv.org, revised Aug 2011.
  99. Bàrbara Llacay & Gilbert Peffer, 2018. "Using realistic trading strategies in an agent-based stock market model," Computational and Mathematical Organization Theory, Springer, vol. 24(3), pages 308-350, September.
  100. Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  101. He, Xue-Zhong & Li, Kai, 2012. "Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 973-987.
  102. Zhao, Zhijun & Zhang, Xiaoqi, 2022. "A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).
  103. Zhang, Yu-Xia & Liao, Hao & Medo, Matus & Shang, Ming-Sheng & Yeung, Chi Ho, 2016. "Study of market model describing the contrary behaviors of informed and uninformed agents: Being minority and being majority," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 450(C), pages 486-496.
  104. Lines, Marji & Westerhoff, Frank, 2010. "Inflation expectations and macroeconomic dynamics: The case of rational versus extrapolative expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 246-257, February.
  105. 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.
  106. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  107. Frank M. A. Klingert & Matthias Meyer, 2018. "Comparing Prediction Market Mechanisms: An Experiment-Based and Micro Validated Multi-Agent Simulation," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 21(1), pages 1-7.
  108. Hohnisch, Martin & Westerhoff, Frank, 2008. "Business cycle synchronization in a simple Keynesian macro-model with socially transmitted economic sentiment and international sentiment spill-over," Structural Change and Economic Dynamics, Elsevier, vol. 19(3), pages 249-259, September.
  109. Vygintas Gontis & Aleksejus Kononovicius, 2017. "Spurious memory in non-equilibrium stochastic models of imitative behavior," Papers 1707.09801, arXiv.org.
  110. Alfarano Simone & Milakovic Mishael, 2012. "Identification of Interaction Effects in Survey Expectations: A Cautionary Note," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-23, October.
  111. Tai Vo-Van & Ha Che-Ngoc & Nghiep Le-Dai & Thao Nguyen-Trang, 2022. "A New Strategy for Short-Term Stock Investment Using Bayesian Approach," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 887-911, February.
  112. Adri'an Carro & Ra'ul Toral & Maxi San Miguel, 2013. "Signal amplification in an agent-based herding model," Papers 1302.6477, arXiv.org, revised Sep 2015.
  113. Makoto Nirei & Theodoros Stamatiou & Vladyslav Sushko, 2012. "Stochastic Herding in Financial Markets Evidence from Institutional Investor Equity Portfolios," BIS Working Papers 371, Bank for International Settlements.
  114. Barde, Sylvain, 2016. "Direct comparison of agent-based models of herding in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 329-353.
  115. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
  116. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
  117. Siyan Chen & Saul Desiderio, 2022. "Calibration of Agent-Based Models by Means of Meta-Modeling and Nonparametric Regression," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1457-1478, December.
  118. Jacob Grazzini & Matteo Richiardi & Lisa Sella, 2012. "Indirect estimation of agent-based models.An application to a simple diffusion model," LABORatorio R. Revelli Working Papers Series 118, LABORatorio R. Revelli, Centre for Employment Studies.
  119. Kononovicius, Aleksejus, 2021. "Supportive interactions in the noisy voter model," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
  120. Jakob Grazzini, 2011. "Consistent Estimation of Agent Based Models," LABORatorio R. Revelli Working Papers Series 110, LABORatorio R. Revelli, Centre for Employment Studies.
  121. Sylvain Barde, 2015. "Direct calibration and comparison of agent-based herding models of financial markets," Studies in Economics 1507, School of Economics, University of Kent.
  122. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01011701, HAL.
  123. Tubbenhauer, Tobias & Fieberg, Christian & Poddig, Thorsten, 2021. "Multi-agent-based VaR forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 131(C).
  124. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DGSE and Agent-Based Models Redux," Working Papers hal-03459348, HAL.
  125. Lucas Fievet & Didier Sornette, 2018. "Calibrating emergent phenomena in stock markets with agent based models," PLOS ONE, Public Library of Science, vol. 13(3), pages 1-17, March.
  126. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2010. "Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation," MPRA Paper 24719, University Library of Munich, Germany.
  127. Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
  128. Simone Berardi & Gabriele Tedeschi, 2016. "How banks’ strategies influence financial cycles: An approach to identifying micro behavior," Working Papers 2016/24, Economics Department, Universitat Jaume I, Castellón (Spain).
  129. repec:hal:spmain:info:hdl:2441/20hflp7eqn97boh50no50tv67n is not listed on IDEAS
  130. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Post-Print halshs-01215947, HAL.
  131. He, Xue-Zhong & Li, Youwei, 2015. "Testing of a market fraction model and power-law behaviour in the DAX 30," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 1-17.
  132. Donovan Platt, 2019. "A Comparison of Economic Agent-Based Model Calibration Methods," Papers 1902.05938, arXiv.org.
  133. Aleksejus Kononovicius & Vygintas Gontis, 2014. "Herding interactions as an opportunity to prevent extreme events in financial markets," Papers 1409.8024, arXiv.org, revised May 2015.
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