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Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model

机译：基于Agent的模型的估计：非对称羊群模型的情况

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摘要

The behavioral origins of the stylized facts of financial returns have been addressed in a growing body of agent-based models of financial markets. While the traditional efficient market viewpoint explains all statistical properties of returns by similar features of the news arrival process, the more recent behavioral finance models explain them as imprints of universal patterns of interaction in these markets. In this paper we contribute to this literature by introducing a very simple agent-based model in which the ubiquitous stylized facts (fat tails, volatility clustering) are emergent properties of the interaction among traders. The simplicity of the model allows us to estimate the underlying parameters, since it is possible to derive a closed form solution for the distribution of returns. We show that the tail shape characterizing the fatness of the unconditional distribution of returns can be directly derived from some structural variables that govern the traders' interactions, namely the herding propensity and the autonomous switching tendency.
机译：越来越多的基于代理的金融市场模型已经解决了财务回报的典型事实的行为起源。传统的有效市场观点通过新闻到达过程的类似特征来解释收益的所有统计属性，而最新的行为金融模型则将它们解释为这些市场中普遍交互作用的烙印。在本文中，我们通过介绍一个非常简单的基于代理的模型为该文献做出了贡献，其中无处不在的风格化事实（胖尾巴，波动率聚类）是交易者之间互动的新兴属性。该模型的简单性使我们能够估计基本参数，因为有可能得出收益分配的封闭式解决方案。我们表明，表征收益无条件分配的肥胖的尾巴形状可以直接从控制交易者互动的一些结构变量中得出，即羊群倾向和自主转换趋势。

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