Listar Departament: Economia por fuente "Journal of Economic Dynamics and Control Volume 60, November 2015"
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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Elsevier (2015-11)In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well-known financial model of (Brock and Hommes, 1998), we show how an appropriate calibration enables the model ...