Estimation of an adaptive stock market model with heterogeneous agents
Estimation of an adaptive stock market model with heterogeneous agents
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DOI：
10.1016/j.jempfin.2006.06.007
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发表时间：
2008-03-01
影响因子：
2.6
通讯作者：
Amilon, Henrik
中科院分区：
文献类型：
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作者：
Amilon, Henrik
基于理性预期和同质性的标准资产定价模型在解释金融市场的复杂性和波动性方面存在问题。近年来，有界理性和异构智能体模型得到了发展，并发现模拟收益表现出各种程式化事实，如波动聚类和肥尾。在这里，我们感兴趣的是所提出的模型如何很好地解释实际数据中看到的所有属性，而不是一次只解释一个或几个属性。因此，我们利用有效矩量法和最大似然法对该模型的一些简单版本进行了适当的估计，并将结果与实际数据和更传统的计量经济模型进行了比较。我们发现了两个主要发现。首先，在早期的模拟中发现的与观测数据的相似性主要依赖于对噪声项的一些不切实际的建模。其次，当更适当地引入随机因素时，模型仍然能够生成一些程式化的事实，但拟合通常相当差。(C) 2007 Elsevier B.V.版权所有
Standard asset pricing models based on rational expectations and homogeneity have problems explaining the complex and volatile nature of financial markets. Recently, boundedly rational and heterogeneous agent models have been developed and simulated returns are found to exhibit various stylized facts, such as volatility clustering and fat tails. Here, we are interested in how well the proposed models can explain all the properties seen in real data, not just one or a few at a time. Hence, we do a proper estimation of some simple versions of such a model by the use of efficient method of moments and maximum likelihood and compare the results to real data and more traditional econometric models. We discover two main findings. First, the similarities with observed data found in earlier simulations rely crucially on a somewhat unrealistic modeling of the noise term. Second, when the stochastic is more properly introduced the models are still able to generate some stylized facts, but the fit is generally quite poor. (C) 2007 Elsevier B.V. All rights reserved.