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

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

Simone Alfarano2005

Article2005

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

Simone Alfarano · Thomas Lux · Friedrich Wagner

350 citations·0/0 files stored·Computational Economics

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1965The Behavior of Stock-Market Prices 1990Noise Trader Risk in Financial Markets 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1997A Rational Route to Randomness 1984Stock Prices and Social Dynamics 1999Scaling and criticality in a stochastic multi-agent model of a financial market

Cited by

2007Agent-based models of financial markets 2014Physics and financial economics (1776–2014): puzzles, Ising and agent-based models 2016Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead 2025Agent-Based Modeling in Economics and Finance: Past, Present, and Future 2012Structural stochastic volatility in asset pricing dynamics: Estimation and model contest 2019More Is Different … and Complex!: The Case for Agent-Based Macroeconomics

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Year2005

Typearticle

Published2005-07-14

VenueComputational Economics

ISSN-L0927-7099

Languageen

Citations350

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1007/s10614-005-6415-1

openalex_workW1974765950

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2012Agent-based economic models and econometrics

2009Heterogeneity, Market Mechanisms, and Asset Price Dynamics