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Simulation and validation of an integrated markets model

Sallans, Brian and Pfister, Alexander and Karatzoglou, Alexandros and Dorffner, Georg (2003) Simulation and validation of an integrated markets model. Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science", 95. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.

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Abstract

The behavior of boundedly rational agents in two interacting markets is investigated. A discrete-time model of coupled financial and consumer markets is described. The integrated model consists of heterogenous consumers, financial traders, and production firms. The production firms operate in the consumer market, and offer their shares to be traded on the financial market. The model is validated by comparing its output to known empirical properties of real markets. In order to better explore the influence of model parameters on behavior, a novel Markov chain Monte Carlo method is introduced. This method allows for the efficient exploration of large parameter spaces, in order to find which parameter regimes lead to reproduction of empirical phenomena. It is shown that the integrated markets model can reproduce a number of empirical "stylized facts", including learning-by-doing effects, fundamental price effects, low autocorrelations, volatility clustering, high kurtosis, and volatility-volume correlations. (author's abstract)

Item Type: Paper
Keywords: Konsumgütermarkt / Kreditmarkt / Simulation / Agent <Informatik> / Markov-Ketten-Monte-Carlo-Verfahren
Divisions: Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes
Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Departments > Marketing > Service Marketing und Tourismus
Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft
Depositing User: Repository Administrator
Date Deposited: 22 Apr 2003 17:44
Last Modified: 02 Jun 2015 15:10
URI: http://epub.wu.ac.at/id/eprint/1454

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