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On the problem of calibrating an agent based model for financial markets · Study

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ArticleOn the problem of calibrating an agent based model for financial markets

Annalisa Fabretti2012

Article2012

On the problem of calibrating an agent based model for financial markets

Annalisa Fabretti

61 citations·0/0 files stored·Journal of Economic Interaction and Coordination

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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

2001Empirical properties of asset returns: stylized facts and statistical issues 1999Scaling and criticality in a stochastic multi-agent model of a financial market 2005Heterogeneous Agent Models in Economics and Finance 1990Bulls, bears and market sheep 2000Agent-based computational finance: Suggested readings and early research 2002The price dynamics of common trading strategies 2007Multi-scaling in finance 2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model

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Year2012

Typearticle

Published2012-06-19

VenueJournal of Economic Interaction and Coordination

ISSN-L1860-711X

Languageen

Citations61

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1007/s11403-012-0096-3

openalex_workW2040254201

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