Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F17%3A00478481" target="_blank" >RIV/67985556:_____/17:00478481 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/17:10366855
Result on the web
<a href="http://dx.doi.org/10.1016/j.jedc.2017.09.006" target="_blank" >http://dx.doi.org/10.1016/j.jedc.2017.09.006</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jedc.2017.09.006" target="_blank" >10.1016/j.jedc.2017.09.006</a>
Alternative languages
Result language
angličtina
Original language name
Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood
Original language description
This paper proposes a general computational framework for empirical estimation of financial agent-based models, for which criterion functions have unknown analytical form. For this purpose, we adapt a recently developed nonparametric simulated maximum likelihood estimation based on kernel methods. In combination with the model developed by Brock and Hommes (1998), which is one of the most widely analysed heterogeneous agent models in the literature, we extensively test the properties and behaviour of the estimation framework, as well as its ability to recover parameters consistently and e ciently using simulations. Key empirical findings indicate the statistical insignificance of the switching coe cient but markedly significant belief parameters that define heterogeneous trading regimes with a predominance of trend following over contrarian strategies. In addition, we document a slight proportional dominance of fundamentalists over trend-following chartists in major world markets.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Economic Dynamics & Control
ISSN
0165-1889
e-ISSN
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Volume of the periodical
85
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
38
Pages from-to
21-45
UT code for WoS article
000418220900002
EID of the result in the Scopus database
2-s2.0-85033485531