CEIS-Tor Vergata is pleased to inform you that, on Friday March 27th, 2015 at 12.00 pm, Maria Cristina Recchioni (Politecnico delle Marche) will present a paper on “A Calibration Procedure for Analyzing Stock Price Dynamics in an Agent-Based Framework†ABSTRACT In this paper we introduce a calibration procedure suitable for the validation of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appropriate calibration technique makes the model able to describe price time series. In particular, we formulate the calibration problem as a nonlinear constrained optimization that can be solved numerically via a gradient-based method. The calibration results show that the simplest version of the Brock and Hommes model, with two trader types, fundamentalists and trend-followers, well replicates the price series of four different markets indices: the S&P 500, the Euro Stoxx 50, the Nikkei 225 and the CSI 300. Moreover, we show how the parameter values of the calibrated model are important to interpret the trader behavior on the different investigated markets. These parameters are then used for price forecasting. To further improve the forecasting, we modify our calibration approach by increasing the trader information set and we show how this new method improves the model’s ability in the prediction of market prices. The Seminar will be held at the Faculty of Economics, University of Rome "Tor Vergata", B-building, 1° floor, room B Please, go to www.ceistorvergata.it for the complete list of seminars and events at CEIS. How to reach us: http://web.uniroma2.it/mobilita/index.html http://www.economia.uniroma2.it/area.asp?a=867 Barbara Piazzi __________ Informazioni da ESET NOD32 Antivirus, versione del database delle firme digitali 11363 (20150323) __________ Il messaggio è stato controllato da ESET NOD32 Antivirus. www.nod32.it |
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