Econometric analysis of microscopic simulation models

Y. Li; A.C.D. Donkers; B. Melenberg

Econometric analysis of microscopic simulation models

Y. Li, A.C.D. Donkers, B. Melenberg

Research output: Contribution to journal › Article › Scientific › peer-review

Abstract

Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data. A related result is a methodology to compare different MS models with each other. For this purpose, possible parameters of interest, such as mean returns, or autocorrelation patterns, are classified and characterized. For each class of characteristics, the appropriate techniques are presented. We illustrate the methodology by comparing the MS model developed by He and Li [J. Econ. Dynam. Control, 2007, 31, 3396–3426, Quant. Finance, 2008, 8, 59–79] with actual data.

Original language	English
Pages (from-to)	1187-1201
Journal	Quantitative Finance
Volume	10
Issue number	10
Publication status	Published - 2010

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title = "Econometric analysis of microscopic simulation models",

abstract = "Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data. A related result is a methodology to compare different MS models with each other. For this purpose, possible parameters of interest, such as mean returns, or autocorrelation patterns, are classified and characterized. For each class of characteristics, the appropriate techniques are presented. We illustrate the methodology by comparing the MS model developed by He and Li [J. Econ. Dynam. Control, 2007, 31, 3396–3426, Quant. Finance, 2008, 8, 59–79] with actual data.",

author = "Y. Li and A.C.D. Donkers and B. Melenberg",

note = "Appeared earlier as CentER DP 2006-99",

year = "2010",

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pages = "1187--1201",

journal = "Quantitative Finance",

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T1 - Econometric analysis of microscopic simulation models

AU - Li, Y.

AU - Donkers, A.C.D.

AU - Melenberg, B.

N1 - Appeared earlier as CentER DP 2006-99

PY - 2010

Y1 - 2010

N2 - Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data. A related result is a methodology to compare different MS models with each other. For this purpose, possible parameters of interest, such as mean returns, or autocorrelation patterns, are classified and characterized. For each class of characteristics, the appropriate techniques are presented. We illustrate the methodology by comparing the MS model developed by He and Li [J. Econ. Dynam. Control, 2007, 31, 3396–3426, Quant. Finance, 2008, 8, 59–79] with actual data.

AB - Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data. A related result is a methodology to compare different MS models with each other. For this purpose, possible parameters of interest, such as mean returns, or autocorrelation patterns, are classified and characterized. For each class of characteristics, the appropriate techniques are presented. We illustrate the methodology by comparing the MS model developed by He and Li [J. Econ. Dynam. Control, 2007, 31, 3396–3426, Quant. Finance, 2008, 8, 59–79] with actual data.

M3 - Article

VL - 10

SP - 1187

EP - 1201

JO - Quantitative Finance

JF - Quantitative Finance

SN - 1469-7688

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