Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/131122
Full metadata record
DC FieldValueLanguage
dc.contributor.authorLlacay Pintat, Bàrbara-
dc.contributor.authorPeffer, Gilbert-
dc.date.accessioned2019-04-01T09:14:03Z-
dc.date.available2019-09-30T05:10:17Z-
dc.date.issued2018-09-
dc.identifier.issn1381-298X-
dc.identifier.urihttp://hdl.handle.net/2445/131122-
dc.description.abstractThe use of agent-based models (ABMs) has increased in the last years to simulate social systems and, in particular, financial markets. ABMs of financial markets are usually validated by checking the ability of the model to reproduce a set of empirical stylised facts. However, other common-sense evidence is available which is often not taken into account, ending with models which are valid but not sensible. In this paper we present an ABM of a stock market which incorporates this type of common-sense evidence and implements realistic trading strategies based on practitioners literature. We next validate the model using a comprehensive approach consisting of four steps: assessment of face validity, sensitivity analysis, calibration and validation of model outputs.-
dc.format.extent43 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isoeng-
dc.publisherSpringer Science + Business Media-
dc.relation.isformatofVersió postprint del document publicat a: https://doi.org/10.1007/s10588-017-9258-0-
dc.relation.ispartofComputational and Mathematical Organization Theory, 2018, vol. 24, num. 3, p. 308-350-
dc.relation.urihttps://doi.org/10.1007/s10588-017-9258-0-
dc.rights(c) Springer Science + Business Media, 2018-
dc.subject.classificationMercat financer-
dc.subject.classificationAnàlisi de sistemes-
dc.subject.classificationMètodes de simulació-
dc.subject.classificationCalibratge-
dc.subject.otherFinancial market-
dc.subject.otherSystem analysis-
dc.subject.otherSimulation methods-
dc.subject.otherCalibration-
dc.titleUsing realistic trading strategies in an agent-based stock market model-
dc.typeinfo:eu-repo/semantics/article-
dc.typeinfo:eu-repo/semantics/acceptedVersion-
dc.identifier.idgrec673195-
dc.date.updated2019-04-01T09:14:03Z-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
Appears in Collections:Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

Files in This Item:
File Description SizeFormat 
673195.pdf1.62 MBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.