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Bank's strategies during the financial crisis

Author

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  • Recchioni, Maria Cristina
  • Tedeschi, Gabriele
  • Berardi, Simone

Abstract

In this paper we introduce a calibration procedure suitable for the validation of agent based models. Starting from the well-known financial model of Brock and Hommes 1998, we show how an appro- priate calibration technique makes the model able to describe price time series.The calibration results show that the simplest version of the Brock and Hommes model, with two trader types, fundamentalists and trend-followers, well replicates the price series of four sub-sectoral banking indexes, representing different geographical areas. Moreover, we show how the parameter values of the calibrated model are important to analyse the trader behavior on the different investigated markets.

Suggested Citation

  • Recchioni, Maria Cristina & Tedeschi, Gabriele & Berardi, Simone, 2014. "Bank's strategies during the financial crisis," FinMaP-Working Papers 25, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    • Handle: RePEc:zbw:fmpwps:25
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    File URL: https://www.econstor.eu/bitstream/10419/106209/1/81541983X.pdf
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    References listed on IDEAS

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    Cited by:

    1. Ilker Arslan & Eugenio Caverzasi & Mauro Gallegati & Alper Duman, 2016. "Long Term Impacts of Bank Behavior on Financial Stability. an Agent Based Modeling Approach," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 19(1), pages 1-11.

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    More about this item

    Keywords

    Validation; Agent-based models; Asset pricing; Heterogeneous beliefs;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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