Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 1187-1201 |
| Journal | Quantitative Finance |
| Volume | 10 |
| Issue number | 10 |
| Publication status | Published - 2010 |
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Econometric analysis of microscopic simulation models. / Li, Y.; Donkers, A.C.D.; Melenberg, B.
In: Quantitative Finance, Vol. 10, No. 10, 2010, p. 1187-1201.Research output: Contribution to journal › Article › Scientific › peer-review
TY - JOUR
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
IS - 10
ER -