Direct calibration and comparison of agent-based herding models of financial markets

Arbeitspapier

The present paper aims to test a new model comparison methodology by calibrating and comparing three agent-based models of financial markets on the daily returns of 18 indices. The models chosen for this empirical application are the herding model of Gilli & Winker, its asymmetric version by Alfarano, Lux & Wagner and the more recent model by Franke & Westerhoff, which all share a common lineage to the herding model introduced by Kirman (1993). In addition, standard ARCH processes are included for each financial series to provide a benchmark for the explanatory power of the models. The methodology provides a clear and consistent ranking of the three models. More importantly, it also reveals that the best performing model, Franke & Westerhoff, is generally not distinguishable from an ARCH-type process, suggesting their explanatory power on the data is similar.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: School of Economics Discussion Papers ; No. 1507

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Statistical Simulation Methods: General ; Model Evaluation, Validation, and Selection ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: model selection ; Agent-based models ; herding behaviour

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Barde, Sylvain
• Ereignis: Veröffentlichung
• (wer): University of Kent, School of Economics
• (wo): Canterbury
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/129998
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ