Arbeitspapier
Simulated ML Estimation of Financial Agent-Based Models
This paper proposes computational framework for empirical estimation of Financial Agent-Based Models (FABMs) that does not rely upon restrictive theoretical assumptions. We customise a recent methodology of the Non-Parametric Simulated Maximum Likelihood Estimator (NPSMLE) based on kernel methods by Kristensen and Shin (2012) and elaborate its capability for FABMs estimation purposes. To start with, we apply the methodology to the popular and widely analysed model of Brock and Hommes (1998). We extensively test finite sample properties of the estimator via Monte Carlo simulations and show that important theoretical features of the estimator, the consistency and asymptotic efficiency, also hold in small samples for the model. We also verify smoothness of the simulated log-likelihood function and identification of parameters. Main empirical results of our analysis are the statistical insignificance of the switching coefficient but markedly significant belief parameters defining heterogeneous trading regimes with an absolute superiority of trend-following over contrarian strategies and a slight proportional dominance of fundamentalists over trend following chartists.
- Sprache
-
Englisch
- Erschienen in
-
Series: IES Working Paper ; No. 07/2016
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Model Construction and Estimation
Computational Techniques; Simulation Modeling
Expectations; Speculations
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
heterogeneous agent model
heterogeneous expectations
behavioural finance
intensity of choice
switching
non-parametric simulated maximum likelihood estimator
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Baruník, Jozef
Kukačka, Jiří
- Ereignis
-
Veröffentlichung
- (wer)
-
Charles University in Prague, Institute of Economic Studies (IES)
- (wo)
-
Prague
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Baruník, Jozef
- Kukačka, Jiří
- Charles University in Prague, Institute of Economic Studies (IES)
Entstanden
- 2016
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