Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model
By Simone Alfarano, Thomas Lux, Friedrich Wagner. 2005
360 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/5bb60acaa3801f4c8354dddf8bfec599fbf12a9c
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Cars H. Hommes
- Frank H. Westerhoff
- R. Franke
- Youwei Li
- Xue-zhong He
- Thomas Lux
- Jakob Grazzini
- Matteo G. Richiardi
In Finance
- Cars H. Hommes
- Frank H. Westerhoff
- Xue-zhong He
- Youwei Li
- Jakob Grazzini
- Matteo G. Richiardi
- R. Franke
- Thomas Lux
Citations in the corpus
- Behavioral Heterogeneity in Stock Prices (2007, background): “Another recent example is Alfarano et al. (2005) who estimate a simple agent-based financial market model with herding using returns from gold prices, stock prices of two large German companies and the DAX stock market index.”
- Stochastic behavioral asset pricing models and the stylized facts (2008, background): “Pt+1 − Pt = Pt+1 − E[Pt+1|Ite = εt (3)”
- Estimation of ergodic agent-based models by simulated minimum distance (2015, background): “7See Alfarano et al. (2005, 2006); Boswick et al. (2007) and the other references listed in Chen et al. (2012).”
- Time-varying beta: a boundedly rational equilibrium approach (2010, neutral): “Chiarella et al. (2006), Alfarano et al. (2005) , Gaunersdorfer and Hommes (2007), and He and Li (2007).”
- Power-law behaviour, heterogeneity, and trend chasing (2007, background): “Using a stripped down version of an extremely parsimonious stochastic herding model with fundamentalists (who trade on observed mispricing) and noise traders (who follow the mood of the market), Alfarano et al. (2005) show that price changes are generated by either exogenous inflow of new informatio”
- Binary-state dynamics on complex networks: pair approximation and beyond (2012, neutral): “Kirman’s ant colony model [61, 62, 63] for choice between stock market trading strategies has similar herding effects, but with switching permitted between both states (strategies).”
- Structural stochastic volatility in asset pricing dynamics: Estimation and model contest (2012, background): “The estimation results and their com- 2 See Gilli and Winker (2003), Alfarano et al. (2005), Manzan and Westerhoff (2007), Winker et al. (2007), Amilon (2008), Franke (2009), Li et al. (2010), Chiarella et al. (2011), Franke and Westerhoff (2011).”