Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/17:10366855

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamické modely v ekonomii</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Economic Dynamics & Control

ISSN

0165-1889

e-ISSN

—

Svazek periodika

85

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

38

Strana od-do

21-45

Kód UT WoS článku

000418220900002

EID výsledku v databázi Scopus

2-s2.0-85033485531