Calibration of an Agent Based Model for Financial Markets

摘要

Agent based model are very widely used in different discipline. In finan-cial markets they can explain very well known features called stylized facts and fit statistical properties of data. For such a reason in predicting future price movements they could perform better than standard models using gaussianity. At this scope cal-ibration and validation in order to choose the model and the model parameters are very essential issues. However calibrating such models is a hard issue to tackle and not yet very well considered in literature. The present paper presents the attempt to calibrate the Farmer Joshi model by a Nelder Mead algorithm with threshold. Different objective function are considered in order to identify the best choice.