Arbeitspapier
Direct calibration and comparison of agent-based herding models of financial markets
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: School of Economics Discussion Papers ; No. 1507
- 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
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Barde, Sylvain
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Kent, School of Economics
- (wo)
-
Canterbury
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Barde, Sylvain
- University of Kent, School of Economics
Entstanden
- 2015
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