Macroeconomics from the Bottom-up

Gatti, Domenico Delli; Desiderio, Saul; Gaffeo, Edoardo; Cirillo, Pasquale; Gallegati, Mauro

doi:10.1007/978-88-470-1971-3

Cited by 238 publications

(136 citation statements)

References 43 publications

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“…We use the time series from The forecast value of the index at t = τ + n, with n=1,2, is obtained by solving the calibration problem (22) at the current date, t = τ , using a time window of 200 consecutive daily observations from t = τ − 199 to t = τ , with τ = 200, 201, ..., 244. Specifically, when the current date changes, we solve again the calibration problem but we add the new observation and discard the oldest observation of the window 14 .…”

Section: Forecasting Of Market Indicesmentioning

confidence: 99%

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A calibration procedure for analyzing stock price dynamics in an agent-based framework

Recchioni

Tedeschi

Gallegati

2015

Journal of Economic Dynamics and Control

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. October 31, 2014 Terms of use: Documents in AbstractIn this paper we introduce a calibration procedure for validating of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appropriate calibration enables the model to describe price time series. We formulate the calibration problem as a nonlinear constrained optimization that can be solved numerically via a gradient-based method. The calibration results show that the simplest version of the Brock and Hommes model, with two trader types, fundamentalists and trend-followers, replicates nicely the price series of four different markets indices: the S&P 500, the Euro Stoxx 50, the Nikkei 225 and the CSI 300. We show how the parameter values of the calibrated model are important in interpreting the trader behavior in the different markets investigated. These parameters are then used for price forecasting. To further improve the forecasting, we modify our calibration approach by increasing the trader information set. Finally, we show how this new approach improves the model's ability to predict market prices. JEL codes: C53; C63; G17.

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Section: Forecasting Of Market Indicesmentioning

confidence: 99%

“…We solve problem (22) for the BH and ABH approaches with τ = 200 (i.e. from February 25 th 2011 to December 16 th 2011) and M iter = 10000.…”

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confidence: 99%

A calibration procedure for analyzing stock price dynamics in an agent-based framework

Recchioni

Tedeschi

Gallegati

2015

Journal of Economic Dynamics and Control

Self Cite

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“…The first contribution, by Tiziana Assenza, Domenico Delli Gatti and Jakob Grazzini studies the emergent dynamics of a Macroeconomic Agent-Based Model with Capital and Credit (CC-MABM), building upon the framework put forward by Delli-Gatti et al 2011. A key feature of ABMs is the ``bottom-up'' approach using simple and ``realistic'' individual decision rules (heuristics) for consumer and firm behavior.…”

Section: Cars Hommes and Giulia Iorimentioning

confidence: 99%

Introduction special issue crises and complexity

Hommes

Iori

2015

Journal of Economic Dynamics and Control

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“…Agent-Based Models (ABMs) attracted a lot of attention in the years following the crisis due to their success in describing the bubble-like dynamics and interactions among individuals (Delli Gatti et al, 2011). Consequently, the ABMs are being more heavily applied in modeling financial markets and financial interconnectedness.…”

Section: Introductionmentioning

confidence: 99%