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ArticleA global optimization heuristic for estimating agent based models

Manfred Gilli2003

Article2003

A global optimization heuristic for estimating agent based models

Manfred Gilli · Peter Winker

218 citations·0/0 files stored·Computational Statistics & Data Analysis

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Simulation Techniques and Applications Metaheuristic Optimization Algorithms Research Stochastic processes and financial applications

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1962Sequential Application of Simplex Designs in Optimisation and Evolutionary Operation 1993Ants, Rationality, and Recruitment 2003Why is it so difficult to beat the random walk forecast of exchange rates?2000Agent-based computational finance: Suggested readings and early research 1993Money and Financial Markets.

Cited by

2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model 2016Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead 2012Structural stochastic volatility in asset pricing dynamics: Estimation and model contest 2012Agent-based economic models and econometrics 2017Complexity and the Economics of Climate Change: A Survey and a Look Forward 2009Stochastic Behavioral Asset-Pricing Models and the Stylized Facts 2012

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Year2003

Typearticle

Published2003-03-01

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations218

Files0 public / 0

ShelfSimulation Techniques and Applications

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doi10.1016/s0167-9473(02)00214-1

openalex_workW2079940549

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Macroeconomic Policy in DSGE and Agent-Based Models

2009Complex Evolutionary Systems in Behavioral Finance