Grant detail

GAUK 192215 - Simulated ML Estimation of Financial Agent-Based Models

Principal investigator: PhDr. Jiří Kukačka Ph.D.
Collaborators: doc. PhDr. Jozef Baruník Ph.D.
Description: After the failure of traditional financial models in 2007/08, the agent-based approaches in Finance have attracted attention of both academicians as well as practitioners. Recently, number of projects propose the courageous attempt to complement or even alternate current mainstream policy making approaches e.g. on the level of central banks. Although empirical estimation is an inevitable part of the modelling cycle, not many examples exist on structural estimation of financial agent-based models. Moreover, looking ten years back in literature, we neither see any general consensus on the methodology, not any conclusive results. This situation is caused by two crucial complications. First, the highly nonlinear nature and complexity of these systems prohibits researchers of using classical estimation methods. Second, the high number of degrees of freedom, parameters, and possible model settings require huge computational capacity for the analysis. This project aims to propose a general methodological framework for empirical estimation of financial agent-based models based on the new method of simulated maximum likelihood (Kristensen and Shin, 2012). We will extensively test this estimation methodology on particular financial agent-based models, but we presuppose the methodology will appear even more general and useful e.g. for macroeconomic agent-based models in the future.
Participation:
Work in grant:
Web link:
Finance: accepted for financing in March 2015
End date: 2015
Publications:

Estimation of financial agent-based models with simulated maximum likelihood

Estimation of financial agent-based models with simulated maximum likelihood

Conferences:

CFE 2015: 9th Conference on Computational and Financial Econometrics

Econophysics Colloquium 2015

First Bordeaux-Milano Joint Workshop on Agent-Based Macroeconomics

WEHIA 2015: 20th Annual Workshop on Economic Science with Heterogeneous Interacting Agents + WEHIA Doctoral Summer School

March 2021
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Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance