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Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model
16 references·16 citing·38 second hopsampled
Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Estimation of Agent-Based Models: The Cas…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)VOLATILITY CLUSTERING IN FINA…HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS (2000)HERD BEHAVIOR AND AGGREGATE F…Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Scaling and criticality in a …The variation of certain speculative prices (1997)The variation of certain spec…Asset Pricing Under Endogenous Expectations in an Artificial Stock Market (1997)Asset Pricing Under Endogenou…A Rational Route to Randomness (1997)A Rational Route to RandomnessThe econometrics of financial markets (1996)The econometrics of financial…The Case for Flexible Exchange Rates (1996)The Case for Flexible Exchang…Ants, Rationality, and Recruitment (1993)Ants, Rationality, and Recrui…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Stock Prices and Social Dynamics (1984)Stock Prices and Social Dynam…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Agent-Based Modeling in Economics and Finance: Past, Present, and Future (2025)Agent-Based Modeling in Econo…More Is Different … and Complex!: The Case for Agent-Based Macroeconomics (2019)More Is Different … and Compl…An interdisciplinary model for macroeconomics (2017)An interdisciplinary model fo…Peer effects in the diffusion of innovations: Theory and simulation (2016)Peer effects in the diffusion…Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead (2016)Macroeconomic Policy in DSGE …Financial power laws: Empirical evidence, models, and mechanisms (2016)Financial power laws: Empiric…Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)Physics and financial economi…Estimation of ergodic agent-based models by simulated minimum distance (2014)Estimation of ergodic agent-b…Structural stochastic volatility in asset pricing dynamics: Estimation and model contest (2012)Structural stochastic volatil…Macroeconomic Policy in DSGE and Agent-Based Models (2012)Macroeconomic Policy in DSGE …Agent-based economic models and econometrics (2012)Agent-based economic models a…Stochastic Behavioral Asset-Pricing Models and the Stylized Facts (2009)Stochastic Behavioral Asset-P…Heterogeneity, Market Mechanisms, and Asset Price Dynamics (2009)Heterogeneity, Market Mechani…Complex Evolutionary Systems in Behavioral Finance (2009)Complex Evolutionary Systems …Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach (2007)Time variation of higher mome…Agent-based models of financial markets (2007)Agent-based models of financi…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Herd Behavior in Financial Markets (2000)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Noise (1986)Predicting returns in the stock and bond markets (1986)Good Day Sunshine: Stock Returns and the Weather (2003)Expected Stock Returns and Variance Risk Premia (2009)The General Theory of Employment, Interest and Money. (1936)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)The spandrels of San Marco and the Panglossian paradigm: a critique of the adaptationist programme (1979)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Competing Technologies, Increasing Returns, and Lock-In by Historical Events (1989)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)Heterogeneous Agent Models in Economics and Finance (2005)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Heterogeneous beliefs and routes to chaos in a simple asset pricing model (1998)The market for borrowing stock (2002)Hedge Funds and the Technology Bubble (2004)The Market for News (2005)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1997A Rational Route to Randomness1,724 cited
  • 1984Stock Prices and Social Dynamics1,615 cited
  • 1999Scaling and criticality in a stochastic multi-agent model of a financial market1,527 cited
  • 1996The Case for Flexible Exchange Rates1,084 cited
  • 1993Ants, Rationality, and Recruitment986 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 1996The econometrics of financial markets886 cited
  • 1997Asset Pricing Under Endogenous Expectations in an Artificial Stock Market832 cited
  • 2000HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS827 cited
  • 2000VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

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701 cited

Cited by

  • 2007Agent-based models of financial markets316 cited
  • 2014Physics and financial economics (1776–2014): puzzles, Ising and agent-based models282 cited
  • 2016Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead274 cited
  • 2025Agent-Based Modeling in Economics and Finance: Past, Present, and Future273 cited
  • 2012Structural stochastic volatility in asset pricing dynamics: Estimation and model contest236 cited
  • 2012Agent-based economic models and econometrics222 cited
  • 2019More Is Different … and Complex!: The Case for Agent-Based Macroeconomics222 cited
  • 2009Heterogeneity, Market Mechanisms, and Asset Price Dynamics206 cited
  • 2009Stochastic Behavioral Asset-Pricing Models and the Stylized Facts186 cited
  • 2007Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach181 cited
  • 2016Financial power laws: Empirical evidence, models, and mechanisms164 cited
  • 2012Macroeconomic Policy in DSGE and Agent-Based Models156 cited
  • 2009Complex Evolutionary Systems in Behavioral Finance142 cited
  • 2014Estimation of ergodic agent-based models by simulated minimum distance128 cited
  • 2017An interdisciplinary model for macroeconomics128 cited
  • 2016Peer effects in the diffusion of innovations: Theory and simulation115 cited