Empirical validation of stochastic models of interacting agents

Alfarano, Simone; Lux, Thomas; Wagner, Friedrich

doi:10.1140/epjb/e2006-00385-4

Cited by 31 publications

(27 citation statements)

References 6 publications

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“…From the proof of Proposition 3(c) it follows that if we put ν = ν , the bifurcation value θ of the lag parameter is given as the-unique-value of θ in the interval (0, π/ν ) that satisfies the first equation in (24). Then, observe that the terms ν , a 0 , b 0 entering there can A.…”

Section: A2 Proof Of Propositionmentioning

confidence: 91%

A prototype model of speculative dynamics with position-based trading

Franke

2009

Journal of Economic Dynamics and Control

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To avoid the indeterminate and generally unbounded positions of the agents in financial market models with order-based trading, the paper considers the alternative of position-based strategies. To this end it extracts a prototype model from the literature, with fundamentalists, chartists, and a risk-averse market maker. The deterministic formulation of the model leads to a neutral delaydifferential equation of the price, whose mathematical analysis is non-standard. The stability conditions are nevertheless quite analogous to the order-based Beja-Goldman model. The effects of parameter variations are also studied in a stochastic setting, where special emphasis is put on the misalignment between price and the time-varying fundamental value, and on the differential profits of fundamentalists and chartists.JEL classification: C 15, D 84, G 12.

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Section: A2 Proof Of Propositionmentioning

confidence: 91%

A prototype model of speculative dynamics with position-based trading

Franke

2009

Journal of Economic Dynamics and Control

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“…In some cases it is possible to show that in an analogous equilibrium model none of these phenomena would arise [150,154,155]. Furthermore, in some cases it is possible to calibrate these BRHA models against real data and get a good fit for properties such as the distribution of returns and the autocorrelation function of volatility [152,153,[156][157][158]. Thus the more developed models in this class make testable predictions.…”

Section: Bounded Rationality Specialization and Heterogeneous Agentsmentioning

confidence: 99%

The virtues and vices of equilibrium and the future of financial economics

2008

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“…Janssen and Ostrom (2006) identify three useful environments in order to calibrate the model parameters: a) empirical data (see Recchioni et al (2015) and Alfarano et al (2007)), b) survey and/or interviews (Garcia et al (2007)), c) experiments (Roth and Erev (1995)). Moreover, different validation techniques have been also proposed (see Sargent (2013)).…”

Section: Introductionmentioning

confidence: 99%

Selection of the distributional rule as an alternative tool to foster cooperation in a Public Good Game

Colasante

2017

Physica A: Statistical Mechanics and its Applications

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This paper presents an investigation about cooperation in a Public Good Game using an Agent Based Model calibrated on experimental data. Starting from the experiment proposed in Colasante and Russo (2016), we analyze the dynamic of cooperation in a Public Good Game where agents receive an heterogeneous income and choose both the level of contribution and the distribution rule. The starting point is the calibration and the output validation of the model using the experimental results. Once tested the goodness of fit of the Agent Based Model, we run some policy experiment in order to verify how each distribution rule, i.e. equidistribution, proportional to contribution and progressive, affects the level of contribution in the simulated model. We find out that the share of cooperators decreases over time if we exogenously set the equidistribution rule. On the contrary, the share of cooperators converges to 100% if we impose the progressive rule. Finally, the most interesting result refers to the effect of the progressive rule. We observe that, in the case of high inequality, this rule is not able to reduce the heterogeneity of income.

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Empirical validation of stochastic models of interacting agents

Cited by 31 publications

References 6 publications

A prototype model of speculative dynamics with position-based trading

A prototype model of speculative dynamics with position-based trading

The virtues and vices of equilibrium and the future of financial economics

Selection of the distributional rule as an alternative tool to foster cooperation in a Public Good Game

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