A dissertation submitted in fulfillment of the requirements
of the degree of Master of Science
in the
School of Computer Science and Applied Mathematics
March 22, 2017 / Agent-based models, particularly those applied to financial markets, demonstrate
the ability to produce realistic, simulated system dynamics, comparable to those
observed in empirical investigations. Despite this, they remain fairly difficult to
calibrate due to their tendency to be computationally expensive, even with recent
advances in technology. For this reason, financial agent-based models are
frequently validated by demonstrating an ability to reproduce well-known log return
time series and central limit order book stylized facts, as opposed to being
rigorously calibrated to transaction data. We thus apply an established financial
agent-based model calibration framework to a number of intraday agent-based
models employing realistic order matching procedures and demonstrate that while
the parameters of these models rooted in market microstructure can indeed be
meaningfully calibrated, those exclusively related to agent behaviors and incentives
remain problematic, due to the presence of parameter degeneracies not identified
by stylized fact-centric validation. We further argue that the observed parameter
degeneracies are likely a consequence of the realistic matching processes
employed in these models, which suggests that alternative approaches to linking
data, phenomenology and market structure may be necessary and that the stylized
fact-centric validation of intraday agent-based models is insufficient. / MT 2017
| Identifer | oai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:wits/oai:wiredspace.wits.ac.za:10539/23449 |
| Date | January 2017 |
| Creators | Platt, Donovan Frederick |
| Source Sets | South African National ETD Portal |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | Online resource (xi, 122 leaves), application/pdf |
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