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Calibration

In: A Nasdaq Market Simulation Insights on a Major Market from the Science of Complex Adaptive Systems

Author

Listed:
  • VINCENT DARLEY

    (President & CEO of Eurobios, UK and Los Alamos National Laboratory, USA)

  • ALEXANDER V OUTKIN

    (President & CEO of Eurobios, UK and Los Alamos National Laboratory, USA)

Abstract

The following sections are included:IntroductionResultsCalibration MethodologyCalibrating to the Trading Volume DistributionCalibration on the Individual LevelQuantitative Behaviors: Calibrating Simulated Strategies Against Real-World StrategiesParameter Discovery for Basic DealersParameter Discovery for Volume DealersTime series comparisonsStatistical analysisIdentification of Analytic ParasitesResults – Basic DealersResults – Volume Dealers and Parasitic DealersWealth Effects AnalysisConclusions

Suggested Citation

  • Vincent Darley & Alexander V Outkin, 2007. "Calibration," World Scientific Book Chapters, in: A Nasdaq Market Simulation Insights on a Major Market from the Science of Complex Adaptive Systems, chapter 6, pages 89-110, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812708359_0006
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