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A global optimization heuristic for estimating agent based models
7 references·16 citing·47 second hop
A global optimization heuristic for estimating agent based models (2003)A global optimization heuristic for estim…Why is it so difficult to beat the random walk forecast of exchange rates? (2003)Why is it so difficult to bea…Agent-based computational finance: Suggested readings and early research (2000)Agent-based computational fin…Money and Financial Markets. (1993)Money and Financial Markets.Ants, Rationality, and Recruitment (1993)Ants, Rationality, and Recrui…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Sequential Application of Simplex Designs in Optimisation and Evolutionary Operation (1962)Sequential Application of Sim…A comparison of economic agent-based model calibration methods (2020)A comparison of economic agen…Complexity and the Economics of Climate Change: A Survey and a Look Forward (2017)Complexity and the Economics …A method for agent-based models validation (2017)A method for agent-based mode…Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead (2016)Macroeconomic Policy in DSGE …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…Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS (2010)Heterogeneity of agents and e…Stochastic Behavioral Asset-Pricing Models and the Stylized Facts (2009)Stochastic Behavioral Asset-P…Complex Evolutionary Systems in Behavioral Finance (2009)Complex Evolutionary Systems …The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies (2008)The Use of Agent-Based Financ…Validating and Calibrating Agent-Based Models: A Case Study (2007)Validating and Calibrating Ag…Estimation of an adaptive stock market model with heterogeneous agents (2007)Estimation of an adaptive sto…An objective function for simulation based inference on exchange rate data (2007)An objective function for sim…Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Estimation of Agent-Based Mod…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)On the Impossibility of Informationally Efficient Markets (1980)The equity premium: A puzzle (1985)ARCH modeling in finance (1992)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems (2013)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)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Heterogeneous Agent Models in Economics and Finance (2005)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Applying the method of simulated moments to estimate a small agent-based asset pricing model (2009)Why a simple herding model may generate the stylized facts of daily returns: explanation and estimation (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)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)Users of the world, unite! 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this work references cited by second hop

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1962Sequential Application of Simplex Designs in Optimisation and Evolutionary Operation1,382 cited
  • 1993Ants, Rationality, and Recruitment986 cited
  • 2003Why is it so difficult to beat the random walk forecast of exchange rates?784 cited
  • 2000Agent-based computational finance: Suggested readings and early research557 cited
  • 1993Money and Financial Markets.154 cited

Cited by

  • 2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model350 cited
  • 2016Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead274 cited
  • 2012Structural stochastic volatility in asset pricing dynamics: Estimation and model contest236 cited
  • 2012Agent-based economic models and econometrics222 cited
  • 2017Complexity and the Economics of Climate Change: A Survey and a Look Forward193 cited
  • 2009Stochastic Behavioral Asset-Pricing Models and the Stylized Facts186 cited
  • 2012Macroeconomic Policy in DSGE and Agent-Based Models156 cited
  • 2009

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Complex Evolutionary Systems in Behavioral Finance
142 cited
  • 2014Estimation of ergodic agent-based models by simulated minimum distance128 cited
  • 2017A method for agent-based models validation112 cited
  • 2008The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies108 cited
  • 2020A comparison of economic agent-based model calibration methods97 cited
  • 2007Validating and Calibrating Agent-Based Models: A Case Study96 cited
  • 2007Estimation of an adaptive stock market model with heterogeneous agents92 cited
  • 2007An objective function for simulation based inference on exchange rate data91 cited
  • 2010Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS82 cited