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On the problem of calibrating an agent based model for financial markets
16 references·0 citing·45 second hopsampled
On the problem of calibrating an agent based model for financial markets (2012)On the problem of calibrating an agent ba…Macroeconomics from the Bottom-up (2011)Macroeconomics from the Botto…Validating Simulation Models: A General Framework and Four Applied Examples (2007)Validating Simulation Models:…Validating and Calibrating Agent-Based Models: A Case Study (2007)Validating and Calibrating Ag…Multi-scaling in finance (2007)Multi-scaling in financeAn objective function for simulation based inference on exchange rate data (2007)An objective function for sim…An empirical behavioral model of liquidity and volatility (2007)An empirical behavioral model…Automatic Tuning of Agent-Based Models Using Genetic Algorithms (2006)Automatic Tuning of Agent-Bas…Heterogeneous Agent Models in Economics and Finance (2005)Heterogeneous Agent Models in…Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Estimation of Agent-Based Mod…Scaling behaviors in differently developed markets (2003)Scaling behaviors in differen…A global optimization heuristic for estimating agent based models (2003)A global optimization heurist…The price dynamics of common trading strategies (2002)The price dynamics of common …Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Agent-based computational finance: Suggested readings and early research (2000)Agent-based computational fin…Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Scaling and criticality in a …Bulls, bears and market sheep (1990)Bulls, bears and market sheepEfficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)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)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)An Evolutionary Theory of Economic Change. (1983)Agent-based Computational Finance (1989)Chapter 24 Agent-based Computational Finance (2006)Negative bubbles and shocks in cryptocurrency markets (2016)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The Review of Economics and Statistics (1997)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Noise Trader Risk in Financial Markets (1990)Agent-based models of financial markets (2007)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead (2016)On the Impossibility of Informationally Efficient Markets (1980)The equity premium: A puzzle (1985)ARCH modeling in finance (1992)Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems (2013)Fractional Brownian Motions, Fractional Noises and Applications (1968)Copula Modeling: An Introduction for Practitioners (2007)Fractals and Scaling in Finance (1997)Introduction to Econophysics (1999)An Introduction to High-Frequency Finance (2001)Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility (2006)On Hurst exponent estimation under heavy-tailed distributions (2010)Multiscale characteristics of the emerging global cryptocurrency market (2020)Human behavior and the principle of least effort (1949)A multifractal approach for stock market inefficiency (2008)How the cryptocurrency market has performed during COVID 19? A multifractal analysis (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Continuous Auctions and Insider Trading (1985)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)The Framing of Decisions and the Psychology of Choice (1981)Tipping Points in Macroeconomic Agent-Based Models (2013)Emergent dynamics of a macroeconomic agent based model with capital and credit (2014)Agent-Based Modeling in Economics and Finance: Past, Present, and Future (2025)
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References

  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1999Scaling and criticality in a stochastic multi-agent model of a financial market1,527 cited
  • 2005Heterogeneous Agent Models in Economics and Finance745 cited
  • 1990Bulls, bears and market sheep619 cited
  • 2000Agent-based computational finance: Suggested readings and early research557 cited
  • 2002The price dynamics of common trading strategies475 cited
  • 2007Multi-scaling in finance376 cited
  • 2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model350 cited
  • 2011Macroeconomics from the Bottom-up310 cited
  • 2003Scaling behaviors in differently developed markets292 cited
  • 2007An empirical behavioral model of liquidity and volatility261 cited
  • 2003A global optimization heuristic for estimating agent based models218 cited
  • 2007Validating Simulation Models: A General Framework and Four Applied Examples171 cited
  • 2007Validating and Calibrating Agent-Based Models: A Case Study96 cited
  • 2007An objective function for simulation based inference on exchange rate data91 cited

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2006
Automatic Tuning of Agent-Based Models Using Genetic Algorithms
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