TY - GEN
T1 - The econometric analysis of agent-based models in finance
T2 - 8th International Conference on Intelligent Data Engineering and Automated Learning, IDEAL 2007
AU - Li, Youwei
AU - Donkers, Bas
AU - Melenberg, Bertrand
PY - 2007
Y1 - 2007
N2 - This paper illustrates how to compare different agent-based models and how to compare an agent-based model with real data. As examples we investigate ARFIMA models, the probability density function, and the spectral density function. We illustrate the methodology in an analysis of the agent-based model developed by Levy, Levy, Solomon (2000), and confront it with the S&P 500 for a comparison with real life data.
AB - This paper illustrates how to compare different agent-based models and how to compare an agent-based model with real data. As examples we investigate ARFIMA models, the probability density function, and the spectral density function. We illustrate the methodology in an analysis of the agent-based model developed by Levy, Levy, Solomon (2000), and confront it with the S&P 500 for a comparison with real life data.
UR - http://www.scopus.com/inward/record.url?scp=38449100037&partnerID=8YFLogxK
U2 - 10.1007/978-3-540-77226-2_108
DO - 10.1007/978-3-540-77226-2_108
M3 - Conference proceeding
AN - SCOPUS:38449100037
SN - 9783540772255
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 1081
EP - 1091
BT - Intelligent Data Engineering and Automated Learning - IDEAL 2007 - 8th International Conference, Proceedings
PB - Springer-Verlag Italia
Y2 - 16 December 2007 through 19 December 2007
ER -