The Econometric Analysis of Microscopic Simulation Models

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

Research output: Working paperDiscussion paperOther research output

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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 Levy, Levy, and Solomon (2000) and the market fraction model developed by He and Li (2005a, b) with actual data
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages47
Volume2006-99
Publication statusPublished - 2006

Publication series

NameCentER Discussion Paper
Volume2006-99

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Keywords

  • Microscopic simulation models
  • Econometric analysis

Cite this

Li, Y., Donkers, A. C. D., & Melenberg, B. (2006). The Econometric Analysis of Microscopic Simulation Models. (CentER Discussion Paper; Vol. 2006-99). Tilburg: Econometrics.
Li, Y. ; Donkers, A.C.D. ; Melenberg, B. / The Econometric Analysis of Microscopic Simulation Models. Tilburg : Econometrics, 2006. (CentER Discussion Paper).
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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 Levy, Levy, and Solomon (2000) and the market fraction model developed by He and Li (2005a, b) with actual data",
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Li, Y, Donkers, ACD & Melenberg, B 2006 'The Econometric Analysis of Microscopic Simulation Models' CentER Discussion Paper, vol. 2006-99, Econometrics, Tilburg.

The Econometric Analysis of Microscopic Simulation Models. / Li, Y.; Donkers, A.C.D.; Melenberg, B.

Tilburg : Econometrics, 2006. (CentER Discussion Paper; Vol. 2006-99).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - The Econometric Analysis of Microscopic Simulation Models

AU - Li, Y.

AU - Donkers, A.C.D.

AU - Melenberg, B.

N1 - Subsequently published in Quantitative Finance, 2010 Pagination: 47

PY - 2006

Y1 - 2006

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 Levy, Levy, and Solomon (2000) and the market fraction model developed by He and Li (2005a, b) 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 Levy, Levy, and Solomon (2000) and the market fraction model developed by He and Li (2005a, b) with actual data

KW - Microscopic simulation models

KW - Econometric analysis

M3 - Discussion paper

VL - 2006-99

T3 - CentER Discussion Paper

BT - The Econometric Analysis of Microscopic Simulation Models

PB - Econometrics

CY - Tilburg

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Li Y, Donkers ACD, Melenberg B. The Econometric Analysis of Microscopic Simulation Models. Tilburg: Econometrics. 2006. (CentER Discussion Paper).