An Investigation on the Simulation Horizon Requirement for Agent based Models Estimation by the Method of Simulated Moments

Ricardo Giglio

Abstract

The accurate estimation of Agent Based Models (ABM) by the method of simulated moments is possibly affected by the simulation horizon one allows the model to run due to sample variability. This work presents an investigation on the effects of this kind of variability on the distribution of the values of the objective function subject to optimization. It is intended to shown that, if the simulation horizon is not sufficiently large, the resulting distribution may present frequent extreme points, which can lead to inaccurate results when one tries to compare different models. For doing so, a model contest is carried out using different simulation horizons to assess the difference in goodness of fit when inactive traders are introduced in one of the Structural Stochastic Volatility models proposed by Franke (2009).

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Paper Citation


in Harvard Style

Giglio R. (2013). An Investigation on the Simulation Horizon Requirement for Agent based Models Estimation by the Method of Simulated Moments . In Doctoral Consortium - Doctoral Consortium, (SIMULTECH 2013) ISBN Not Available, pages 20-28. DOI: 10.5220/0004637600200028


in Bibtex Style

@conference{doctoral consortium13,
author={Ricardo Giglio},
title={An Investigation on the Simulation Horizon Requirement for Agent based Models Estimation by the Method of Simulated Moments},
booktitle={Doctoral Consortium - Doctoral Consortium, (SIMULTECH 2013)},
year={2013},
pages={20-28},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004637600200028},
isbn={Not Available},
}


in EndNote Style

TY - CONF
JO - Doctoral Consortium - Doctoral Consortium, (SIMULTECH 2013)
TI - An Investigation on the Simulation Horizon Requirement for Agent based Models Estimation by the Method of Simulated Moments
SN - Not Available
AU - Giglio R.
PY - 2013
SP - 20
EP - 28
DO - 10.5220/0004637600200028