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Validation of Agent-Based Models in Economics and Finance

In Claus Beisbart & Nicole J. Saam (eds.), Computer Simulation Validation: Fundamental Concepts, Methodological Frameworks, and Philosophical Perspectives. Springer Verlag. pp. 763-787 (2019)

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  1. A Composite Index for Measuring Stock Market Inefficiency.Raffaele Mattera, Fabrizio Di Sciorio & Juan E. Trinidad-Segovia - 2022 - Complexity 2022:1-13.
    Market inefficiency is a latent concept, and it is difficult to be measured by means of a single indicator. In this paper, following both the adaptive market hypothesis and the fractal market hypothesis, we develop a new time-varying measure of stock market inefficiency. The proposed measure, called composite efficiency index, is estimated as the synthesis of the most common efficiency measures such as the returns’ autocorrelation, liquidity, volatility, and a new measure based on the Hurst exponent, called the Hurst efficiency (...)
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  • Confirmation by Robustness Analysis: A Bayesian Account.Lorenzo Casini & Jürgen Landes - forthcoming - Erkenntnis:1-43.
    Some authors claim that minimal models have limited epistemic value (Fumagalli, 2016; Grüne-Yanoff, 2009a). Others defend the epistemic benefits of modelling by invoking the role of robustness analysis for hypothesis confirmation (see, e.g., Levins, 1966; Kuorikoski et al., 2010) but such arguments find much resistance (see, e.g., Odenbaugh & Alexandrova, 2011). In this paper, we offer a Bayesian rationalization and defence of the view that robustness analysis can play a confirmatory role, and thereby shed light on the potential of minimal (...)
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