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Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility
Ghonghadze, Jaba; Lux, Thomas Elsevier (2016)We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach of Alfarano et al. (2008) as an example. Since we are able to derive various moment conditions for this ...