Econometric analysis of microscopic simulation models

Youwei Li, Bas Donkers, Bertrand Melenberg

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)

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 languageEnglish
Pages (from-to)1187-1201
Number of pages15
JournalQuantitative Finance
Volume10
Issue number10
DOIs
Publication statusPublished - 2010

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)
  • Finance

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