naa a22 4500 510729037 CHVBK 20180411082945.0 cr unu---uuuuu 180411e20131001xx s 000 0 eng 10.1007/s11403-012-0096-3 doi (NATIONALLICENCE)springer-10.1007/s11403-012-0096-3 Fabretti Annalisa Department of Economics and Finance, University of Rome Tor Vergata, Via Columbia 2, Rome, Italy aut On the problem of calibrating an agent based model for financial markets [Elektronische Daten] [Annalisa Fabretti] Agent based models are very widely used in different disciplines. In financial markets, they can be used to explain well known features called stylised facts and fit statistical properties of data. For this reason, they can model price movements better than standard models using gaussianity. Calibration and validation are essential issues in agent-based modeling. However, calibrating such models is not yet sufficiently considered in the literature. In this paper, a Nelder-Mead simplex algorithm coupled with threshold accepting algorithm (Gilli and Winker in Comput Stat Data Anal 42:299-312, 2003) and a genetic algorithm have been implemented to calibrate the model presented by Farmer and Joshi (J Econ Behav Org 49:149-171, 2002) and the outcomes have been compared and discussed. The data used are closing prices of S&P500 Composite index and a particular attention has been devoted to the choice of the objective function. Springer-Verlag, 2012 Agent based model nationallicence Artificial markets nationallicence Calibration nationallicence Genetic algorithm nationallicence Journal of Economic Interaction and Coordination Springer Berlin Heidelberg 8/2(2013-10-01), 277-293 1860-711X 8:2<277 2013 8 11403 https://doi.org/10.1007/s11403-012-0096-3 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11403-012-0096-3 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Fabretti Annalisa Department of Economics and Finance, University of Rome Tor Vergata, Via Columbia 2, Rome, Italy aut NATIONALLICENCE 773 0- Journal of Economic Interaction and Coordination Springer Berlin Heidelberg 8/2(2013-10-01), 277-293 1860-711X 8:2<277 2013 8 11403 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer