Direct comparison of agent-based models of herding in financial markets

DOI10.1016/j.jedc.2016.10.005zbMath1401.91456OpenAlexW2533919294MaRDI QIDQ1656464

Sylvain Barde

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://spire.sciencespo.fr/hdl:/2441/7kr9gv74ut9ngo58gia97t83i7

zbMATH Keywords

model selectionagent-based modelsherding behaviour

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82) Heterogeneous agent models (91B69)

Related Items (12)

A method for agent-based models validation ⋮ Agent-based model calibration using machine learning surrogates ⋮ Estimation of agent-based models using sequential Monte Carlo methods ⋮ Co-existence of trend and value in financial markets: estimating an extended Chiarella model ⋮ Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality ⋮ A comparison of economic agent-based model calibration methods ⋮ An agent-based approach for time-series momentum and reversal ⋮ Loss aversion in an agent-based asset pricing model ⋮ Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets ⋮ Multi-agent-based VaR forecasting ⋮ Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion ⋮ Automated and distributed statistical analysis of economic agent-based models

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