دانلود مقاله ISI انگلیسی شماره 136963
ترجمه فارسی عنوان مقاله

برآورد مدل های مبتنی بر عوامل مالی با حداکثر احتمال شبیه سازی شده

عنوان انگلیسی
Estimation of financial agent-based models with simulated maximum likelihood
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
136963 2017 40 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Economic Dynamics and Control, Volume 85, December 2017, Pages 21-45

پیش نمایش مقاله
پیش نمایش مقاله  برآورد مدل های مبتنی بر عوامل مالی با حداکثر احتمال شبیه سازی شده

چکیده انگلیسی

This paper proposes a general computational framework for empirical estimation of financial agent-based models, for which criterion functions have unknown analytical form. For this purpose, we adapt a recently developed nonparametric simulated maximum likelihood estimation based on kernel methods. In combination with the model developed by Brock and Hommes (1998), which is one of the most widely analysed heterogeneous agent models in the literature, we extensively test the properties and behaviour of the estimation framework, as well as its ability to recover parameters consistently and efficiently using simulations. Key empirical findings indicate the statistical insignificance of the switching coefficient but markedly significant belief parameters that define heterogeneous trading regimes with a predominance of trend following over contrarian strategies. In addition, we document a slight proportional dominance of fundamentalists over trend-following chartists in major world markets.